nextstep (3) - Linux Manuals

Command to display nextstep manual in Linux: $ man 3 nextstep

NAME

QuantLib::MarketModelVolProcess -

SYNOPSIS

#include <ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp>

Inherited by SquareRootAndersen.

Public Member Functions

virtual Size variatesPerStep ()=0

virtual Size numberSteps ()=0

virtual void nextPath ()=0

virtual Real nextstep (const std::vector< Real > &variates)=0

virtual Real stepSd () const =0

virtual std::vector< Real > & stateVariables () const =0

virtual Size numberStateVariables () const =0

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.