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

caplet const volatility model More...

#include <ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp>

+ Inheritance diagram for LmConstWrapperVolatilityModel:

Public Member Functions

 LmConstWrapperVolatilityModel (const ext::shared_ptr< LmVolatilityModel > &volaModel)
 
Disposable< Arrayvolatility (Time t, const Array &x=Null< Array >()) const
 
Volatility volatility (Size i, Time t, const Array &x=Null< Array >())
 
Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const
 
- Public Member Functions inherited from LmVolatilityModel
 LmVolatilityModel (Size size, Size nArguments)
 
Size size () const
 
std::vector< Parameter > & params ()
 
void setParams (const std::vector< Parameter > &arguments)
 
virtual Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const
 

Protected Attributes

const ext::shared_ptr< LmVolatilityModelvolaModel_
 
- Protected Attributes inherited from LmVolatilityModel
const Size size_
 
std::vector< Parameterarguments_
 

Detailed Description

caplet const volatility model