QuantLib_MarketModelVolProcess man page

MarketModelVolProcess

Synopsis

#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.

Author

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Referenced By

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

Fri Sep 1 2017 Version 1.10.1 QuantLib