QuantLib_MarketModelVolProcess (3) Linux Manual Page

QuantLib::MarketModelVolProcess –

Synopsis

#include <ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp>

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

Detailed Description

Displaced diffusion LMM with uncorrelated vol process. Called ‘Shifted BGM’ with Heston vol by Brace in ‘Engineering BGM.’ Vol process is an external input.

Author

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