LmLinearExponentialVolatilityModel Class Reference

linear exponential volatility model More...

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

Inheritance diagram for LmLinearExponentialVolatilityModel:

Public Member Functions
	LmLinearExponentialVolatilityModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d)
Array	volatility (Time t, const Array &x={}) const override
Volatility	volatility (Size i, Time t, const Array &x={}) const override
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)

Additional Inherited Members
Protected Attributes inherited from LmVolatilityModel
const Size	size_
std::vector< Parameter >	arguments_

Detailed Description

linear exponential volatility model

This class describes a linear-exponential volatility model

\[\sigma_i(t)=(a*(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c \]

References:

Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf)

Member Function Documentation

volatility() [1/2]

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

overridevirtual

Implements LmVolatilityModel.

volatility() [2/2]

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

overridevirtual

Reimplemented from LmVolatilityModel.

integratedVariance()

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

overridevirtual

Reimplemented from LmVolatilityModel.