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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
<https://www.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.
*/
/*! \file lmvolmodel.hpp
\brief volatility model for libor market models
*/
#ifndef quantlib_libor_market_volatility_model_hpp
#define quantlib_libor_market_volatility_model_hpp
#include <ql/models/parameter.hpp>
#include <ql/utilities/null.hpp>
namespace QuantLib {
//! caplet volatility model
class LmVolatilityModel {
public:
LmVolatilityModel(Size size, Size nArguments);
virtual ~LmVolatilityModel() = default;
Size size() const;
std::vector<Parameter> & params();
void setParams(const std::vector<Parameter> & arguments);
virtual Array volatility(Time t, const Array& x = {}) const = 0;
virtual Volatility volatility(Size i, Time t, const Array& x = {}) const;
virtual Real integratedVariance(Size i, Size j, Time u, const Array& x = {}) const;
protected:
const Size size_;
std::vector<Parameter> arguments_;
private:
virtual void generateArguments() = 0;
};
}
#endif
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