QuantLib_MarketModelVolProcess man page

MarketModelVolProcess —


#include <ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp>

Inherited by SquareRootAndersen.

Public Member Functions

virtual Size variatesPerStep ()=0

virtual Size numberSteps ()=0

virtual void nextPath ()=0

virtual Real nextstep (const std::vector< Real > &variates)=0

virtual Real stepSd () const =0

virtual const std::vector< Real > & stateVariables () const =0

virtual Size numberStateVariables () const =0

Detailed Description

Displaced diffusion LMM with uncorrelated vol process. Called 'Shifted BGM' with Heston vol by Brace in 'Engineering BGM.' Vol process is an external input.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

nextPath(3), nextstep(3), numberStateVariables(3), numberSteps(3), stateVariables(3), stepSd(3) and variatesPerStep(3) are aliases of QuantLib_MarketModelVolProcess(3).

QuantLib Version 1.8.1 Fri Sep 23 2016