SVDDFwdRatePc (3) - Linux Manuals
NAME
QuantLib::SVDDFwdRatePc -
SYNOPSIS
#include <ql/models/marketmodels/evolvers/svddfwdratepc.hpp>
Inherits QuantLib::MarketModelEvolver.
Public Member Functions
SVDDFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const boost::shared_ptr< MarketModelVolProcess > &volProcess, Size firstVolatilityFactor, Size volatilityFactorStep, const std::vector< Size > &numeraires, Size initialStep=0)
MarketModel interface
const std::vector< Size > & numeraires () const
Real startNewPath ()
Real advanceStep ()
Size currentStep () const
const CurveState & currentState () const
void setInitialState (const CurveState &)
Detailed Description
Displaced diffusion LMM with uncorrelated vol process. Called 'Shifted BGM' with Heston vol by Brac in 'Engineering BGM.' Vol process is an external input.
Author
Generated automatically by Doxygen for QuantLib from the source code.