QuantLib_LmVolatilityModel man page

LmVolatilityModel — caplet volatility model  


#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


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Referenced By

The man page LmVolatilityModel(3) is an alias of QuantLib_LmVolatilityModel(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib