#include <ql/models/marketmodels/evolvers/svddfwdratepc.hpp>
Public Member Functions | |
SVDDFwdRatePc (const ext::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const ext::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 CurveState & | currentState () const |
void | setInitialState (const CurveState &) |
Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brac in "Engineering BGM." Vol process is an external input.