extended linear exponential volatility model More...
#include <lmextlinexpvolmodel.hpp>
Inheritance diagram for LmExtLinearExponentialVolModel:
Collaboration diagram for LmExtLinearExponentialVolModel:
Public Member Functions | |
| LmExtLinearExponentialVolModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) | |
| Array | volatility (Time t, const Array &x=Null< Array >()) const override |
| Volatility | volatility (Size i, Time t, const Array &x=Null< Array >()) const override |
| Real | integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const override |
| Public Member Functions inherited from LmLinearExponentialVolatilityModel | |
| LmLinearExponentialVolatilityModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) | |
| Array | volatility (Time t, const Array &x=Null< Array >()) const override |
| Volatility | volatility (Size i, Time t, const Array &x=Null< Array >()) const override |
| 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 |
Additional Inherited Members | |
| Protected Attributes inherited from LmVolatilityModel | |
| const Size | size_ |
| std::vector< Parameter > | arguments_ |
Detailed Description
extended linear exponential volatility model
This class describes an extended linear-exponential volatility model
\[ \sigma_i(t)=k_i*((a*(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c) \]
References:
Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf)
Definition at line 46 of file lmextlinexpvolmodel.hpp.
Constructor & Destructor Documentation
◆ LmExtLinearExponentialVolModel()
| LmExtLinearExponentialVolModel | ( | const std::vector< Time > & | fixingTimes, |
| Real | a, | ||
| Real | b, | ||
| Real | c, | ||
| Real | d | ||
| ) |
Definition at line 24 of file lmextlinexpvolmodel.cpp.
Member Function Documentation
◆ volatility() [1/2]
Implements LmVolatilityModel.
Definition at line 36 of file lmextlinexpvolmodel.cpp.
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◆ volatility() [2/2]
Reimplemented from LmVolatilityModel.
Definition at line 46 of file lmextlinexpvolmodel.cpp.
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◆ integratedVariance()
|
overridevirtual |
Reimplemented from LmVolatilityModel.
Definition at line 52 of file lmextlinexpvolmodel.cpp.
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