QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
lmextlinexpvolmodel.hpp File Reference

volatility model for libor market models More...

#include <ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp>

Go to the source code of this file.

Classes

class  LmExtLinearExponentialVolModel
 extended linear exponential volatility model More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

volatility model for libor market models

Definition in file lmextlinexpvolmodel.hpp.