MarketModelVolProcess Class Reference
#include <ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp>
List of all members.
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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 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.