LmExtLinearExponentialVolModel Class Reference

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

Inheritance diagram for LmExtLinearExponentialVolModel:

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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>)


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