A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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#include <ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp>
Inheritance diagram for SquareRootAndersen:Public Member Functions | |
| SquareRootAndersen (Real meanLevel, Real reversionSpeed, Real volVar, Real v0, const std::vector< Real > &evolutionTimes, Size numberSubSteps_, Real w1, Real w2, Real cutPoint=1.5) | |
| virtual Size | variatesPerStep () |
| virtual Size | numberSteps () |
| virtual void | nextPath () |
| virtual Real | nextstep (const std::vector< Real > &variates) |
| virtual Real | stepSd () const |
| virtual const std::vector< Real > & | stateVariables () const |
| virtual Size | numberStateVariables () const |
Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brace in "Engineering BGM." Vol process is an external input.
