LmConstWrapperVolatilityModel Class Reference

caplet const volatility model More...

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

Inheritance diagram for LmConstWrapperVolatilityModel:

Public Member Functions
	LmConstWrapperVolatilityModel (const ext::shared_ptr< LmVolatilityModel > &volaModel)
Array	volatility (Time t, const Array &x={}) const override
Volatility	volatility (Size i, Time t, const Array &x={})
Real	integratedVariance (Size i, Size j, Time u, const Array &x={}) const override
Public Member Functions inherited from LmVolatilityModel
	LmVolatilityModel (Size size, Size nArguments)
Size	size () const
std::vector< Parameter > &	params ()
void	setParams (const std::vector< Parameter > &arguments)

Protected Attributes
const ext::shared_ptr< LmVolatilityModel >	volaModel_
Protected Attributes inherited from LmVolatilityModel
const Size	size_
std::vector< Parameter >	arguments_

Detailed Description

caplet const volatility model

Member Function Documentation

volatility()

Array volatility ( Time t, const Array & x = {} ) const

overridevirtual

Implements LmVolatilityModel.

integratedVariance()

Real integratedVariance ( Size i, Size j, Time u, const Array & x = {} ) const

overridevirtual

Reimplemented from LmVolatilityModel.