QuantLib_MarketModelVolProcess (3) - Linux Manuals
Inherited by SquareRootAndersen.
Public Member Functions
virtual Size variatesPerStep ()=0
virtual Size numberSteps ()=0
virtual void nextPath ()=0
virtual Real nextstep (const std::vector< Real > &variates)=0
virtual Real stepSd () const =0
virtual std::vector< Real > & stateVariables () const =0
virtual Size numberStateVariables () const =0
Displaced diffusion LMM with uncorrelated vol process. Called 'Shifted BGM' with Heston vol by Brace in 'Engineering BGM.' Vol process is an external input.
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