QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
ql
legacy
libormarketmodels
lmfixedvolmodel.hpp
1
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3
/*
4
Copyright (C) 2005, 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
24
#ifndef quantlib_libor_market_fixed_volatility_model_hpp
25
#define quantlib_libor_market_fixed_volatility_model_hpp
26
27
#include <ql/legacy/libormarketmodels/lmvolmodel.hpp>
28
29
namespace
QuantLib
{
30
31
class
LmFixedVolatilityModel
:
public
LmVolatilityModel
{
32
public
:
33
LmFixedVolatilityModel
(
Array
volatilities,
const
std::vector<Time>& startTimes);
34
35
Array
volatility
(
Time
t,
const
Array
& x =
Null<Array>
())
const override
;
36
Volatility
volatility
(
Size
i,
Time
t,
const
Array
& x)
const override
;
37
38
private
:
39
void
generateArguments
()
override
;
40
41
const
Array
volatilities_
;
42
const
std::vector<Time>
startTimes_
;
43
};
44
45
}
46
47
48
#endif
49
QuantLib::Array
1-D array used in linear algebra.
Definition:
array.hpp:52
QuantLib::LmFixedVolatilityModel
Definition:
lmfixedvolmodel.hpp:31
QuantLib::LmFixedVolatilityModel::volatility
Array volatility(Time t, const Array &x=Null< Array >()) const override
Definition:
lmfixedvolmodel.cpp:40
QuantLib::LmFixedVolatilityModel::generateArguments
void generateArguments() override
Definition:
lmfixedvolmodel.cpp:69
QuantLib::LmFixedVolatilityModel::volatilities_
const Array volatilities_
Definition:
lmfixedvolmodel.hpp:41
QuantLib::LmFixedVolatilityModel::startTimes_
const std::vector< Time > startTimes_
Definition:
lmfixedvolmodel.hpp:42
QuantLib::LmVolatilityModel
caplet volatility model
Definition:
lmvolmodel.hpp:33
QuantLib::Null
template class providing a null value for a given type.
Definition:
null.hpp:76
QuantLib::Time
Real Time
continuous quantity with 1-year units
Definition:
types.hpp:62
QuantLib::Volatility
Real Volatility
volatility
Definition:
types.hpp:78
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
Generated by
Doxygen
1.9.5