QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
SVDDFwdRatePc Class Reference

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

+ Inheritance diagram for SVDDFwdRatePc:

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.