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<div class="title">LmLinearExponentialVolatilityModel Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::LmLinearExponentialVolatilityModel" --><!-- doxytag: inherits="QuantLib::LmVolatilityModel" -->
<p>linear exponential volatility model
<a href="class_quant_lib_1_1_lm_linear_exponential_volatility_model.html#details">More...</a></p>
<p><code>#include <ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp></code></p>
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Inheritance diagram for LmLinearExponentialVolatilityModel:</div>
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<area shape="rect" id="node5" href="class_quant_lib_1_1_lm_ext_linear_exponential_vol_model.html" title="extended linear exponential volatility model" alt="" coords="12,166,225,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_lm_volatility_model.html" title="caplet volatility model" alt="" coords="57,6,180,37"/></map>
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<p><a href="class_quant_lib_1_1_lm_linear_exponential_volatility_model-members.html">List of all members.</a></p>
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<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8f5b4b645bd11c8f5a6e25f0d34fe6ef"></a><!-- doxytag: member="QuantLib::LmLinearExponentialVolatilityModel::LmLinearExponentialVolatilityModel" ref="a8f5b4b645bd11c8f5a6e25f0d34fe6ef" args="(const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d)" -->
 </td><td class="memItemRight" valign="bottom"><b>LmLinearExponentialVolatilityModel</b> (const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &fixingTimes, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> c, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> d)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a03f03d36b98e10eaaf9f3bb562a3044a"></a><!-- doxytag: member="QuantLib::LmLinearExponentialVolatilityModel::volatility" ref="a03f03d36b98e10eaaf9f3bb562a3044a" args="(Time t, const Array &x=Null< Array >()) const " -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><b>volatility</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x=Null< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> >()) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a39d7d490201f2ef18de08691f8dd398a"></a><!-- doxytag: member="QuantLib::LmLinearExponentialVolatilityModel::volatility" ref="a39d7d490201f2ef18de08691f8dd398a" args="(Size i, Time t, const Array &x=Null< Array >()) const " -->
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><b>volatility</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x=Null< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> >()) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae9a2e2fd9e07eb49cab6280a76781a5c"></a><!-- doxytag: member="QuantLib::LmLinearExponentialVolatilityModel::integratedVariance" ref="ae9a2e2fd9e07eb49cab6280a76781a5c" args="(Size i, Size j, Time u, const Array &x=Null< Array >()) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>integratedVariance</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> j, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> u, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x=Null< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> >()) const </td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>linear exponential volatility model </p>
<p>This class describes a linear-exponential volatility model</p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ \sigma_i(t)=(a*(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c \]" src="form_164.png"/>
</p>
<p>References:</p>
<p>Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of <a class="el" href="class_quant_lib_1_1_libor.html" title="base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones">Libor</a> Market Model and Joint Caps/Swaptions Calibration, (<<a href="http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf">http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf</a>>) </p>
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