LmExtLinearExponentialVolModel Class Reference

extended linear exponential volatility model More...

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

Inheritance diagram for LmExtLinearExponentialVolModel:

Public Member Functions

 LmExtLinearExponentialVolModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d)
 
Disposable< Arrayvolatility (Time t, const Array &x=Null< Array >()) const
 
Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const
 
Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const
 
- Public Member Functions inherited from LmLinearExponentialVolatilityModel
 LmLinearExponentialVolatilityModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d)
 
Disposable< Arrayvolatility (Time t, const Array &x=Null< Array >()) const
 
Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const
 
Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const
 
- 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< Parameterarguments_
 

Detailed Description

extended linear exponential volatility model

This class describes an extended linear-exponential volatility model

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

  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>)