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

caplet const volatility model More...

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

+ Inheritance diagram for LmConstWrapperVolatilityModel:
+ Collaboration diagram for LmConstWrapperVolatilityModel:

Public Member Functions

 LmConstWrapperVolatilityModel (const ext::shared_ptr< LmVolatilityModel > &volaModel)
 
Array volatility (Time t, const Array &x=Null< Array >()) const override
 
Volatility volatility (Size i, Time t, const Array &x=Null< Array >())
 
Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) 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
 

Protected Attributes

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

Private Member Functions

void generateArguments () override
 
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
 

Detailed Description

caplet const volatility model

Definition at line 32 of file lmconstwrappervolmodel.hpp.

Constructor & Destructor Documentation

◆ LmConstWrapperVolatilityModel()

LmConstWrapperVolatilityModel ( const ext::shared_ptr< LmVolatilityModel > &  volaModel)
explicit

Definition at line 34 of file lmconstwrappervolmodel.hpp.

Member Function Documentation

◆ volatility() [1/4]

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

Implements LmVolatilityModel.

Definition at line 40 of file lmconstwrappervolmodel.hpp.

◆ volatility() [2/4]

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

Definition at line 43 of file lmconstwrappervolmodel.hpp.

◆ integratedVariance()

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

Reimplemented from LmVolatilityModel.

Definition at line 48 of file lmconstwrappervolmodel.hpp.

◆ generateArguments()

void generateArguments ( )
overrideprivatevirtual

Implements LmVolatilityModel.

Definition at line 57 of file lmconstwrappervolmodel.hpp.

◆ volatility() [3/4]

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

Implements LmVolatilityModel.

◆ volatility() [4/4]

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

Reimplemented from LmVolatilityModel.

Definition at line 44 of file lmvolmodel.cpp.

Member Data Documentation

◆ volaModel_

const ext::shared_ptr<LmVolatilityModel> volaModel_
protected

Definition at line 53 of file lmconstwrappervolmodel.hpp.