QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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lmextlinexpvolmodel.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 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 const std::vector<Time>& fixingTimes,
26 Real a, Real b, Real c, Real d)
27 : LmLinearExponentialVolatilityModel(fixingTimes, a, b, c, d) {
28
29 arguments_.resize(4+size_);
30 for (Size i=0; i <size_; ++i) {
32 }
33 }
34
35
37 Time t, const Array& x) const {
39 for (Size i=0; i<size_; ++i) {
40 tmp[i]*=arguments_[i+4](0.0);
41 }
42
43 return tmp;
44 }
45
47 Size i, Time t, const Array& x) const {
48 return arguments_[i+4](0.0)
50 }
51
53 Size i, Size j, Time u, const Array& x) const {
54 return arguments_[i+4](0.0)*arguments_[j+4](0.0)
56 }
57
58}
59
1-D array used in linear algebra.
Definition: array.hpp:52
Standard constant parameter .
Definition: parameter.hpp:71
Array volatility(Time t, const Array &x=Null< Array >()) const override
LmExtLinearExponentialVolModel(const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d)
Real integratedVariance(Size i, Size j, Time u, const Array &x=Null< Array >()) const override
linear exponential volatility model
Array volatility(Time t, const Array &x=Null< Array >()) const override
Real integratedVariance(Size i, Size j, Time u, const Array &x=Null< Array >()) const override
std::vector< Parameter > arguments_
Definition: lmvolmodel.hpp:50
Constraint imposing positivity to all arguments
Definition: constraint.hpp:92
const DefaultType & t
Date d
ext::function< Real(Real)> b
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