QuantLib_LmConstWrapperVolatilityModel

Langue: en

Autres versions - même langue

Version: 372941 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::LmConstWrapperVolatilityModel -

caplet const volatility model

SYNOPSIS


#include <ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp>

Inherits QuantLib::LmVolatilityModel.

Public Member Functions


LmConstWrapperVolatilityModel (const boost::shared_ptr< LmVolatilityModel > &volaModel)

Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const

Volatility volatility (Size i, Time t, const Array &x=Null< Array >())

Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const

Protected Attributes


const boost::shared_ptr< LmVolatilityModel > volaModel_

Detailed Description

caplet const volatility model

Author

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