Rechercher une page de manuel
QuantLib_SquareRootAndersen
Langue: en
Version: 383996 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::SquareRootAndersen -SYNOPSIS
#include <ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp>
Inherits QuantLib::MarketModelVolProcess.
Public Member Functions
SquareRootAndersen (Real meanLevel, Real reversionSpeed, Real volVar, Real v0, const std::vector< Real > &evolutionTimes, Size numberSubSteps_, Real w1, Real w2, Real cutPoint=1.5)
virtual Size variatesPerStep ()
virtual Size numberSteps ()
virtual void nextPath ()
virtual Real nextstep (const std::vector< Real > &variates)
virtual Real stepSd () const
virtual const std::vector< Real > & stateVariables () const
virtual Size numberStateVariables () const
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
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre