MarketModelVolProcess Class Reference

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

Inheritance diagram for MarketModelVolProcess:

List of all members.

Public Member Functions

virtual Size variatesPerStep ()=0
virtual Size numberSteps ()=0
virtual void nextPath ()=0
virtual Real nextstep (const std::vector< Real > &variates)=0
virtual Real stepSd () const =0
virtual const std::vector< Real > & stateVariables () const =0
virtual Size numberStateVariables () const =0


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.