QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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lmvolmodel.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2005, 2006 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
21
22namespace QuantLib {
23
25 : size_(size),
26 arguments_(nArguments) {
27 }
28
30 return size_;
31 }
32
34 Size i, Time t, const Array& x) const {
35 // inefficient implementation, please overload in derived classes
36 return volatility(t, x)[i];
37 }
38
40 const Array&) const {
41 QL_FAIL("integratedVariance() method is not supported");
42 }
43
44 std::vector<Parameter> & LmVolatilityModel::params() {
45 return arguments_;
46 }
47
49 const std::vector<Parameter> & arguments) {
50 arguments_ = arguments;
52 }
53
54}
55
1-D array used in linear algebra.
Definition: array.hpp:52
void setParams(const std::vector< Parameter > &arguments)
Definition: lmvolmodel.cpp:48
virtual Array volatility(Time t, const Array &x=Null< Array >()) const =0
std::vector< Parameter > & params()
Definition: lmvolmodel.cpp:44
virtual Real integratedVariance(Size i, Size j, Time u, const Array &x=Null< Array >()) const
Definition: lmvolmodel.cpp:39
virtual void generateArguments()=0
std::vector< Parameter > arguments_
Definition: lmvolmodel.hpp:50
LmVolatilityModel(Size size, Size nArguments)
Definition: lmvolmodel.cpp:24
const DefaultType & t
#define QL_FAIL(message)
throw an error (possibly with file and line information)
Definition: errors.hpp:92
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Real Volatility
volatility
Definition: types.hpp:78
std::size_t Size
size of a container
Definition: types.hpp:58
volatility model for libor market models
Definition: any.hpp:35
Size size_
Definition: pseudosqrt.cpp:76