MarketModelVolProcess Class Reference

#include <marketmodelvolprocess.hpp>

Inheritance diagram for MarketModelVolProcess:

Collaboration diagram for MarketModelVolProcess:

Public Member Functions
	MarketModelVolProcess ()=default
virtual	~MarketModelVolProcess ()=default
virtual Size	variatesPerStep ()=0
virtual Size	numberSteps ()=0
virtual void	nextPath ()=0
virtual Real	nextstep (const std::vector< Real > &variates)=0
virtual Real	stepSd () const =0
virtual const std::vector< Real > &	stateVariables () const =0
virtual Size	numberStateVariables () const =0

Detailed Description

Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brace in "Engineering BGM." Vol process is an external input.

Definition at line 34 of file marketmodelvolprocess.hpp.

Constructor & Destructor Documentation

MarketModelVolProcess()

MarketModelVolProcess ( )

default

~MarketModelVolProcess()

virtual ~MarketModelVolProcess ( )

virtualdefault

Member Function Documentation

variatesPerStep()

virtual Size variatesPerStep ( )

pure virtual

Implemented in SquareRootAndersen.

numberSteps()

virtual Size numberSteps ( )

pure virtual

Implemented in SquareRootAndersen.

nextPath()

virtual void nextPath ( )

pure virtual

Implemented in SquareRootAndersen.

nextstep()

virtual Real nextstep ( const std::vector< Real > &  variates )

pure virtual

Implemented in SquareRootAndersen.

stepSd()

virtual Real stepSd ( ) const

pure virtual

Implemented in SquareRootAndersen.

stateVariables()

virtual const std::vector< Real > & stateVariables ( ) const

pure virtual

Implemented in SquareRootAndersen.

numberStateVariables()

virtual Size numberStateVariables ( ) const

pure virtual

Implemented in SquareRootAndersen.