QuantLib_SquareRootAndersen man page

SquareRootAndersen —


#include <ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp>

Inherits MarketModelVolProcess.

Public Member Functions

SquareRootAndersen (Real meanLevel, Real reversionSpeed, Real volVar, Real v0, const std::vector< Real > &evolutionTimes, Size numberSubSteps_, Real w1, Real w2, Real cutPoint=1.5)

virtual Size variatesPerStep ()

virtual Size numberSteps ()

virtual void nextPath ()

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

virtual Real stepSd () const

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

virtual Size numberStateVariables () const

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.


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Referenced By

SquareRootAndersen(3) is an alias of QuantLib_SquareRootAndersen(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib