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