SquareRootAndersen Class Reference
#include <ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp>
List of all members.
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Public Member Functions |
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| SquareRootAndersen (Real meanLevel, Real reversionSpeed, Real volVar, Real v0, const std::vector< Real > &evolutionTimes, Size numberSubSteps_, Real w1, Real w2, Real cutPoint=1.5) |
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virtual Size | variatesPerStep () |
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virtual Size | numberSteps () |
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virtual void | nextPath () |
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virtual Real | nextstep (const std::vector< Real > &variates) |
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virtual Real | stepSd () const |
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virtual const std::vector< Real > & | stateVariables () const |
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virtual Size | numberStateVariables () const |
Detailed Description
Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brace in "Engineering BGM." Vol process is an external input.