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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<div class="title">SquareRootAndersen Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::SquareRootAndersen" --><!-- doxytag: inherits="QuantLib::MarketModelVolProcess" -->
<p><code>#include <ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp></code></p>
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Inheritance diagram for SquareRootAndersen:</div>
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<p><a href="class_quant_lib_1_1_square_root_andersen-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="af430590f474daf10e714401cfde97440"></a><!-- doxytag: member="QuantLib::SquareRootAndersen::SquareRootAndersen" ref="af430590f474daf10e714401cfde97440" args="(Real meanLevel, Real reversionSpeed, Real volVar, Real v0, const std::vector< Real > &evolutionTimes, Size numberSubSteps_, Real w1, Real w2, Real cutPoint=1.5)" -->
 </td><td class="memItemRight" valign="bottom"><b>SquareRootAndersen</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> meanLevel, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> reversionSpeed, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> volVar, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> v0, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &evolutionTimes, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> numberSubSteps_, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> w1, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> w2, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> cutPoint=1.5)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa7c096d1e12c20cfa755c0b3b033537a"></a><!-- doxytag: member="QuantLib::SquareRootAndersen::variatesPerStep" ref="aa7c096d1e12c20cfa755c0b3b033537a" args="()" -->
virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>variatesPerStep</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6d83557adbc933ab37b96a2bf545cb30"></a><!-- doxytag: member="QuantLib::SquareRootAndersen::numberSteps" ref="a6d83557adbc933ab37b96a2bf545cb30" args="()" -->
virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberSteps</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aea9ac6ded607172edc58b33120d49305"></a><!-- doxytag: member="QuantLib::SquareRootAndersen::nextPath" ref="aea9ac6ded607172edc58b33120d49305" args="()" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>nextPath</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a790819874b2d07cfe050f88b7986775d"></a><!-- doxytag: member="QuantLib::SquareRootAndersen::nextstep" ref="a790819874b2d07cfe050f88b7986775d" args="(const std::vector< Real > &variates)" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nextstep</b> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &variates)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="add0737fe4f812e1669a809fdfd35345c"></a><!-- doxytag: member="QuantLib::SquareRootAndersen::stepSd" ref="add0737fe4f812e1669a809fdfd35345c" args="() const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>stepSd</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3483b4e6c56f73fd3604d6e70e27300d"></a><!-- doxytag: member="QuantLib::SquareRootAndersen::stateVariables" ref="a3483b4e6c56f73fd3604d6e70e27300d" args="() const " -->
virtual const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td><td class="memItemRight" valign="bottom"><b>stateVariables</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a700d068edb6482e7e012d396979c5930"></a><!-- doxytag: member="QuantLib::SquareRootAndersen::numberStateVariables" ref="a700d068edb6482e7e012d396979c5930" args="() const " -->
virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberStateVariables</b> () const </td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brace in "Engineering BGM." Vol process is an external input. </p>
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