extended linear exponential volatility model This class describes an extended linear-exponential volatility model
$$ \sigma_i(t)=k_i((a(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c) $$
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)
extended linear exponential volatility model This class describes an extended linear-exponential volatility model
$$ \sigma_i(t)=k_i((a(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c) $$
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)