QuantLib_LmVolatilityModel man page

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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

LmVolatilityModel(3) is an alias of QuantLib_LmVolatilityModel(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib