QuantLib: a free/open-source library for quantitative finance
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lmextlinexpvolmodel.hpp
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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
20/*! \file lmextlinexpvolmodel.hpp
21 \brief volatility model for libor market models
22*/
23
24#ifndef quantlib_libor_market_ext_linear_exp_volatility_model_hpp
25#define quantlib_libor_market_ext_linear_exp_volatility_model_hpp
26
28
29namespace QuantLib {
30
31 //! extended linear exponential volatility model
32 /*! This class describes an extended linear-exponential volatility model
33
34 \f[
35 \sigma_i(t)=k_i*((a*(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c)
36 \f]
37
38 References:
39
40 Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003,
41 Different Covariance Parameterizations of Libor Market Model and Joint
42 Caps/Swaptions Calibration,
43 (<http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf>)
44 */
45
48 public:
49 LmExtLinearExponentialVolModel(const std::vector<Time>& fixingTimes,
50 Real a, Real b, Real c, Real d);
51
52 Array volatility(Time t, const Array& x = Null<Array>()) const override;
53 Volatility volatility(Size i, Time t, const Array& x = Null<Array>()) const override;
54
55 Real
56 integratedVariance(Size i, Size j, Time u, const Array& x = Null<Array>()) const override;
57 };
58
59}
60
61
62#endif
63
1-D array used in linear algebra.
Definition: array.hpp:52
extended 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
linear exponential volatility model
template class providing a null value for a given type.
Definition: null.hpp:76
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