QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
MarketModelVolProcess Class Referenceabstract

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

+ Inheritance diagram for MarketModelVolProcess:

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.