LmVolatilityModel Class Reference

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

Inheritance diagram for LmVolatilityModel:

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List of all members.

Detailed Description

caplet volatility model


Public Member Functions

 LmVolatilityModel (Size size, Size nArguments)
Size size () const
std::vector< Parameter > & params ()
void setParams (const std::vector< Parameter > &arguments)
virtual Disposable< Arrayvolatility (Time t, const Array &x=Null< Array >()) const=0
virtual Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const
virtual Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const

Protected Attributes

const Size size_
std::vector< Parameterarguments_