SVDDFwdRatePc

NAME

SVDDFwdRatePc

SYNOPSIS

#include <ql/models/marketmodels/evolvers/svddfwdratepc.hpp>

Inherits MarketModelEvolver.

Public Member Functions

SVDDFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const boost::shared_ptr< MarketModelVolProcess > &volProcess, Size firstVolatilityFactor, Size volatilityFactorStep, const std::vector< Size > &numeraires, Size initialStep=0)

MarketModel interface

const std::vector< Size > & numeraires () const
Real startNewPath ()
Real advanceStep ()
Size currentStep () const
const CurveState & currentState () const
void setInitialState (const CurveState &)

Detailed Description

Displaced diffusion LMM with uncorrelated vol process. Called ’Shifted BGM’ with Heston vol by Brac in ’Engineering BGM.’ Vol process is an external input.

Author

Generated automatically by Doxygen for QuantLib from the source code.