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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_lm_linear_exponential_volatility_model.html">LmLinearExponentialVolatilityModel</a></li> </ul>
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<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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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for LmLinearExponentialVolatilityModel:</div>
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Public Member Functions</h2></td></tr>
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 </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 class="separator:a8f5b4b645bd11c8f5a6e25f0d34fe6ef"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a60789151a57d15a0e7233e639abf8d3f"><td class="memItemLeft" align="right" valign="top"><a id="a60789151a57d15a0e7233e639abf8d3f"></a>
<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=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> >()) const</td></tr>
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<tr class="memitem:aab4e9c25029918c85a4e8cf4cf3fee1d"><td class="memItemLeft" align="right" valign="top"><a id="aab4e9c25029918c85a4e8cf4cf3fee1d"></a>
<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=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> >()) const</td></tr>
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<tr class="memitem:a66abcacb0abba8a9b3f868332162726c"><td class="memItemLeft" align="right" valign="top"><a id="a66abcacb0abba8a9b3f868332162726c"></a>
<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=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> >()) const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_lm_volatility_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_lm_volatility_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_lm_volatility_model.html">LmVolatilityModel</a></td></tr>
<tr class="memitem:aadbf151af61e33a78daafdef33307386 inherit pub_methods_class_quant_lib_1_1_lm_volatility_model"><td class="memItemLeft" align="right" valign="top"><a id="aadbf151af61e33a78daafdef33307386"></a>
 </td><td class="memItemRight" valign="bottom"><b>LmVolatilityModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> size, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
<tr class="separator:aadbf151af61e33a78daafdef33307386 inherit pub_methods_class_quant_lib_1_1_lm_volatility_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acce0ab2cacc475b2434f24c65c91685a inherit pub_methods_class_quant_lib_1_1_lm_volatility_model"><td class="memItemLeft" align="right" valign="top"><a id="acce0ab2cacc475b2434f24c65c91685a"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size</b> () const</td></tr>
<tr class="separator:acce0ab2cacc475b2434f24c65c91685a inherit pub_methods_class_quant_lib_1_1_lm_volatility_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9393e4f98c78782667ac0fad8955b460 inherit pub_methods_class_quant_lib_1_1_lm_volatility_model"><td class="memItemLeft" align="right" valign="top"><a id="a9393e4f98c78782667ac0fad8955b460"></a>
std::vector< <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> > & </td><td class="memItemRight" valign="bottom"><b>params</b> ()</td></tr>
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<tr class="memitem:a35af8c3af10f3ea4e44ccc5e370074bb inherit pub_methods_class_quant_lib_1_1_lm_volatility_model"><td class="memItemLeft" align="right" valign="top"><a id="a35af8c3af10f3ea4e44ccc5e370074bb"></a>
void </td><td class="memItemRight" valign="bottom"><b>setParams</b> (const std::vector< <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> > &arguments)</td></tr>
<tr class="separator:a35af8c3af10f3ea4e44ccc5e370074bb inherit pub_methods_class_quant_lib_1_1_lm_volatility_model"><td class="memSeparator" colspan="2"> </td></tr>
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Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_lm_volatility_model"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_lm_volatility_model')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_lm_volatility_model.html">LmVolatilityModel</a></td></tr>
<tr class="memitem:a6bc74a91ed4c6cb51d2fa5b1f8cdaf60 inherit pro_attribs_class_quant_lib_1_1_lm_volatility_model"><td class="memItemLeft" align="right" valign="top"><a id="a6bc74a91ed4c6cb51d2fa5b1f8cdaf60"></a>
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size_</b></td></tr>
<tr class="separator:a6bc74a91ed4c6cb51d2fa5b1f8cdaf60 inherit pro_attribs_class_quant_lib_1_1_lm_volatility_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8d6cb3b36a2e282c440aad042035196a inherit pro_attribs_class_quant_lib_1_1_lm_volatility_model"><td class="memItemLeft" align="right" valign="top"><a id="a8d6cb3b36a2e282c440aad042035196a"></a>
std::vector< <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> > </td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
<tr class="separator:a8d6cb3b36a2e282c440aad042035196a inherit pro_attribs_class_quant_lib_1_1_lm_volatility_model"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">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">
\[ \sigma_i(t)=(a*(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c \]
</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 ICE 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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