linear exponential volatility model More...
#include <ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp>
Public Member Functions | |
LmLinearExponentialVolatilityModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) | |
Disposable< Array > | volatility (Time t, const Array &x=Null< Array >()) const |
Volatility | volatility (Size i, Time t, const Array &x=Null< Array >()) const |
Real | integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const |
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LmVolatilityModel (Size size, Size nArguments) | |
Size | size () const |
std::vector< Parameter > & | params () |
void | setParams (const std::vector< Parameter > &arguments) |
Additional Inherited Members | |
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const Size | size_ |
std::vector< Parameter > | arguments_ |
linear exponential volatility model
This class describes a linear-exponential volatility model
References:
Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf)