QuantLib_LmLinearExponentialVolatilityModel (3) Linux Manual Page
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 modelThis 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>)