LmConstWrapperVolatilityModel Class Reference

caplet const volatility model More...

#include <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< LmVolatilityModel >	volaModel_
Protected Attributes inherited from LmVolatilityModel
const Size	size_
std::vector< Parameter >	arguments_

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.