lmvolmodel.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005, 2006 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file lmvolmodel.hpp
    \brief volatility model for libor market models
*/
 
#ifndef quantlib_libor_market_volatility_model_hpp
#define quantlib_libor_market_volatility_model_hpp
 
#include <ql/models/parameter.hpp>
#include <ql/utilities/null.hpp>
 
namespace QuantLib {
 
    //! caplet volatility model
    class LmVolatilityModel {
      public:
        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;
 
      protected:
        const Size size_;
        std::vector<Parameter> arguments_;
 
      private:
        virtual void generateArguments() = 0;
    };
 
}
 
 
#endif