QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Member Functions | Private Attributes | List of all members
LmFixedVolatilityModel Class Reference

#include <ql/legacy/libormarketmodels/lmfixedvolmodel.hpp>

+ Inheritance diagram for LmFixedVolatilityModel:
+ Collaboration diagram for LmFixedVolatilityModel:

Public Member Functions

 LmFixedVolatilityModel (Array volatilities, const std::vector< Time > &startTimes)
 
Array volatility (Time t, const Array &x=Null< Array >()) const override
 
Volatility volatility (Size i, Time t, const Array &x) const override
 
- Public Member Functions inherited from LmVolatilityModel
 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
 

Private Member Functions

void generateArguments () override
 

Private Attributes

const Array volatilities_
 
const std::vector< TimestartTimes_
 

Additional Inherited Members

- Protected Attributes inherited from LmVolatilityModel
const Size size_
 
std::vector< Parameterarguments_
 

Detailed Description

Definition at line 31 of file lmfixedvolmodel.hpp.

Constructor & Destructor Documentation

◆ LmFixedVolatilityModel()

LmFixedVolatilityModel ( Array  volatilities,
const std::vector< Time > &  startTimes 
)

Definition at line 25 of file lmfixedvolmodel.cpp.

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Member Function Documentation

◆ volatility() [1/2]

Array volatility ( Time  t,
const Array x = Null<Array>() 
) const
overridevirtual

Implements LmVolatilityModel.

Definition at line 40 of file lmfixedvolmodel.cpp.

◆ volatility() [2/2]

Volatility volatility ( Size  i,
Time  t,
const Array x 
) const
overridevirtual

Reimplemented from LmVolatilityModel.

Definition at line 57 of file lmfixedvolmodel.cpp.

◆ generateArguments()

void generateArguments ( )
overrideprivatevirtual

Implements LmVolatilityModel.

Definition at line 69 of file lmfixedvolmodel.cpp.

Member Data Documentation

◆ volatilities_

const Array volatilities_
private

Definition at line 41 of file lmfixedvolmodel.hpp.

◆ startTimes_

const std::vector<Time> startTimes_
private

Definition at line 42 of file lmfixedvolmodel.hpp.