SVDDFwdRatePc Class Reference

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

Inheritance diagram for SVDDFwdRatePc:

List of all members.

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 CurveStatecurrentState () 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.