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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005, 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/lmlinexpvolmodel.hpp>
namespace QuantLib {
LmVolatilityModel::LmVolatilityModel(Size size, Size nArguments)
: size_(size),
arguments_(nArguments) {
}
Size LmVolatilityModel::size() const {
return size_;
}
Volatility LmVolatilityModel::volatility(
Size i, Time t, const Array& x) const {
// inefficient implementation, please overload in derived classes
return volatility(t, x)[i];
}
Real LmVolatilityModel::integratedVariance(Size, Size, Time,
const Array&) const {
QL_FAIL("integratedVariance() method is not supported");
}
std::vector<Parameter> & LmVolatilityModel::params() {
return arguments_;
}
void LmVolatilityModel::setParams(
const std::vector<Parameter> & arguments) {
arguments_ = arguments;
generateArguments();
}
}
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