SquareRootAndersen Class Reference

#include <ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp>

Inheritance diagram for SquareRootAndersen:

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)
Size	variatesPerStep () override
Size	numberSteps () override
void	nextPath () override
Real	nextstep (const std::vector< Real > &variates) override
Real	stepSd () const override
const std::vector< Real > &	stateVariables () const override
Size	numberStateVariables () const override

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.

Member Function Documentation

variatesPerStep()

Size variatesPerStep ( )

overridevirtual

Implements MarketModelVolProcess.

numberSteps()

Size numberSteps ( )

overridevirtual

Implements MarketModelVolProcess.

nextPath()

void nextPath ( )

overridevirtual

Implements MarketModelVolProcess.

nextstep()

Real nextstep ( const std::vector< Real > & variates )

overridevirtual

Implements MarketModelVolProcess.

stepSd()

Real stepSd ( ) const

overridevirtual

Implements MarketModelVolProcess.

stateVariables()

const std::vector< Real > & stateVariables ( ) const

overridevirtual

Implements MarketModelVolProcess.

numberStateVariables()

Size numberStateVariables ( ) const

overridevirtual

Implements MarketModelVolProcess.