QuantLib_LmLinearExponentialVolatilityModel (3) - Linux Manuals

QuantLib_LmLinearExponentialVolatilityModel: linear exponential volatility model

Command to display QuantLib_LmLinearExponentialVolatilityModel manual in Linux: $ man 3 QuantLib_LmLinearExponentialVolatilityModel

NAME

QuantLib::LmLinearExponentialVolatilityModel - linear exponential volatility model

SYNOPSIS

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

Inherits QuantLib::LmVolatilityModel.

Inherited by LmExtLinearExponentialVolModel.

Public Member Functions

LmLinearExponentialVolatilityModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d)

Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const

Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const

Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const

Detailed Description

linear exponential volatility model

This class describes a linear-exponential volatility model

[ igma_i(t)=(a*(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c ].PP 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>)

Author

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