QuantLib_SquareRootAndersen man page



#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

The man page SquareRootAndersen(3) is an alias of QuantLib_SquareRootAndersen(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib