QuantLib_LmVolatilityModel (3) Linux Manual Page
QuantLib::LmVolatilityModel – caplet volatility model
Synopsis
#include <ql/legacy/libormarketmodels/lmvolmodel.hpp>Inherited by LmConstWrapperVolatilityModel, LmFixedVolatilityModel, and LmLinearExponentialVolatilityModel.
Public Member Functions
LmVolatilityModel (Size size, Size nArguments)Size size () const
std::vector< Parameter > & params ()
void setParams (const std::vector< Parameter > &arguments)
virtual Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const =0
virtual Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const
virtual Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const
Protected Attributes
const Size size_std::vector< Parameter > arguments_