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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp>
namespace QuantLib {
LmExtLinearExponentialVolModel::LmExtLinearExponentialVolModel(
const std::vector<Time>& fixingTimes,
Real a, Real b, Real c, Real d)
: LmLinearExponentialVolatilityModel(fixingTimes, a, b, c, d) {
arguments_.resize(4+size_);
for (Size i=0; i <size_; ++i) {
arguments_[i+4] = ConstantParameter(1.0, PositiveConstraint());
}
}
Disposable<Array> LmExtLinearExponentialVolModel::volatility(
Time t, const Array& x) const {
Array tmp = LmLinearExponentialVolatilityModel::volatility(t, x);
for (Size i=0; i<size_; ++i) {
tmp[i]*=arguments_[i+4](0.0);
}
return tmp;
}
Volatility LmExtLinearExponentialVolModel::volatility(
Size i, Time t, const Array& x) const {
return arguments_[i+4](0.0)
*LmLinearExponentialVolatilityModel::volatility(i, t, x);
}
Real LmExtLinearExponentialVolModel::integratedVariance(
Size i, Size j, Time u, const Array& x) const {
return arguments_[i+4](0.0)*arguments_[j+4](0.0)
*LmLinearExponentialVolatilityModel::integratedVariance(i,j,u,x);
}
}
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