- QuantLib
- LmExtLinearExponentialVolModel
 
extended linear exponential volatility model More...
#include <ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp>

| Public Member Functions | |
| LmExtLinearExponentialVolModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) | |
| Disposable< Array > | volatility (Time t, const Array &x=Null< Array >()) const | 
| Volatility | volatility (Size i, Time t, const Array &x=Null< Array >()) const | 
| Real | integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const | 
extended linear exponential volatility model
This class describes an extended linear-exponential volatility model
![\[ \sigma_i(t)=k_i*((a*(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c) \]](form_162.png) 
References:
Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (<http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf>)