LmFixedVolatilityModel Class Reference

#include <lmfixedvolmodel.hpp>

Inheritance diagram for LmFixedVolatilityModel:

Collaboration diagram for LmFixedVolatilityModel:

Public Member Functions
	LmFixedVolatilityModel (Array volatilities, const std::vector< Time > &startTimes)
Array	volatility (Time t, const Array &x={}) const override
Volatility	volatility (Size i, Time t, const Array &x) const override
Public Member Functions inherited from LmVolatilityModel
	LmVolatilityModel (Size size, Size nArguments)
virtual	~LmVolatilityModel ()=default
Size	size () const
std::vector< Parameter > &	params ()
void	setParams (const std::vector< Parameter > &arguments)
virtual Array	volatility (Time t, const Array &x={}) const =0
virtual Volatility	volatility (Size i, Time t, const Array &x={}) const
virtual Real	integratedVariance (Size i, Size j, Time u, const Array &x={}) const

Private Member Functions
void	generateArguments () override

Private Attributes
const Array	volatilities_
const std::vector< Time >	startTimes_

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

Detailed Description

Definition at line 31 of file lmfixedvolmodel.hpp.

Constructor & Destructor Documentation

LmFixedVolatilityModel()

LmFixedVolatilityModel	(	Array	volatilities,
		const std::vector< Time > &	startTimes
	)

Definition at line 25 of file lmfixedvolmodel.cpp.

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Member Function Documentation

volatility() [1/2]

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

overridevirtual

Implements LmVolatilityModel.

Definition at line 40 of file lmfixedvolmodel.cpp.

volatility() [2/2]

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

overridevirtual

Reimplemented from LmVolatilityModel.

Definition at line 57 of file lmfixedvolmodel.cpp.

generateArguments()

void generateArguments ( )

overrideprivatevirtual

Implements LmVolatilityModel.

Definition at line 69 of file lmfixedvolmodel.cpp.

Member Data Documentation

volatilities_

const Array volatilities_

private

Definition at line 41 of file lmfixedvolmodel.hpp.

startTimes_

const std::vector<Time> startTimes_

private

Definition at line 42 of file lmfixedvolmodel.hpp.