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QuantLib_LmVolatilityModel
Langue: en
Version: 381883 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::LmVolatilityModel -caplet volatility model
SYNOPSIS
#include <ql/legacy/libormarketmodels/lmvolmodel.hpp>
Inherited by LmConstWrapperVolatilityModel, LmFixedVolatilityModel, and LmLinearExponentialVolatilityModel.
Public Member Functions
LmVolatilityModel (Size size, Size nArguments)
Size size () const
std::vector< Parameter > & params ()
void setParams (const std::vector< Parameter > &arguments)
virtual Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const =0
virtual Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const
virtual Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const
Protected Attributes
const Size size_
std::vector< Parameter > arguments_
Detailed Description
caplet volatility model
Author
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