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

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