QuantLib_LmLinearExponentialVolatilityModel man page

LmLinearExponentialVolatilityModel — linear exponential volatility model


#include <ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp>

Inherits LmVolatilityModel.

Inherited by LmExtLinearExponentialVolModel.

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

Additional Inherited Members

Detailed Description

linear exponential volatility model

This class describes a linear-exponential volatility model

[ sigma_i(t)=(a*(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c ].PP 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/con…)


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Referenced By

LmLinearExponentialVolatilityModel(3) is an alias of QuantLib_LmLinearExponentialVolatilityModel(3).

QuantLib Version 1.8.1 Fri Sep 23 2016