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

| 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 const std::vector< Real > & | stateVariables () const =0 | 
| virtual Size | numberStateVariables () const =0 | 
Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brace in "Engineering BGM." Vol process is an external input.