caplet volatility model More...

#include <lmvolmodel.hpp>

Inheritance diagram for LmVolatilityModel:

Collaboration diagram for LmVolatilityModel:

Public Member Functions
	LmVolatilityModel (Size size, Size nArguments)

virtual	~LmVolatilityModel ()=default

Size	size () const

std::vector< Parameter > &	params ()

void	setParams (const std::vector< Parameter > &arguments)

virtual Array	volatility (Time t, const Array &x=Null< Array >()) const =0

virtual Volatility	volatility (Size i, Time t, const Array &x=Null< Array >()) const

virtual Real	integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const

Protected Attributes
const Size	size_

std::vector< Parameter >	arguments_

Private Member Functions
virtual void	generateArguments ()=0

Detailed Description

caplet volatility model

Definition at line 33 of file lmvolmodel.hpp.

Constructor & Destructor Documentation

◆ LmVolatilityModel()

LmVolatilityModel	(	Size	size,
		Size	nArguments
	)

Definition at line 24 of file lmvolmodel.cpp.

◆ ~LmVolatilityModel()

virtual ~LmVolatilityModel ( )

virtualdefault

Member Function Documentation

◆ size()

Size size ( ) const

Definition at line 29 of file lmvolmodel.cpp.

◆ params()

std::vector< Parameter > & params ( )

Definition at line 44 of file lmvolmodel.cpp.

◆ setParams()

void setParams ( const std::vector< Parameter > & arguments )

Definition at line 48 of file lmvolmodel.cpp.

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◆ volatility() [1/2]

virtual Array volatility	(	Time	t,
		const Array &	x = `Null< Array >()`
	)		const

pure virtual

Implemented in LmConstWrapperVolatilityModel, LmExtLinearExponentialVolModel, LmFixedVolatilityModel, LmLinearExponentialVolatilityModel, and LmConstWrapperVolatilityModel.

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◆ volatility() [2/2]

Volatility volatility	(	Size	i,
		Time	t,
		const Array &	x = `Null<Array>()`
	)		const

virtual

Reimplemented in LmFixedVolatilityModel, LmConstWrapperVolatilityModel, LmExtLinearExponentialVolModel, and LmLinearExponentialVolatilityModel.

Definition at line 33 of file lmvolmodel.cpp.

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◆ integratedVariance()

Real integratedVariance	(	Size	i,
		Size	j,
		Time	u,
		const Array &	x = `Null<Array>()`
	)		const

virtual

Reimplemented in LmConstWrapperVolatilityModel, LmExtLinearExponentialVolModel, and LmLinearExponentialVolatilityModel.

Definition at line 39 of file lmvolmodel.cpp.

◆ generateArguments()

virtual void generateArguments ( )

privatepure virtual

Implemented in LmConstWrapperVolatilityModel, LmFixedVolatilityModel, and LmLinearExponentialVolatilityModel.

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Member Data Documentation

◆ size_

const Size size_

protected

Definition at line 49 of file lmvolmodel.hpp.

◆ arguments_

std::vector<Parameter> arguments_