Class MarketModelVolProcess
Methods
nextPath
Defined in ql/models/marketmodels/evolvers/marketmodelvolprocess.ts:21
Returns void
nextstep
Defined in ql/models/marketmodels/evolvers/marketmodelvolprocess.ts:24
Parameters
numberStateVariables
numberStateVariables( ) : Size
Defined in ql/models/marketmodels/evolvers/marketmodelvolprocess.ts:34
numberSteps
Defined in ql/models/marketmodels/evolvers/marketmodelvolprocess.ts:17
stateVariables
Defined in ql/models/marketmodels/evolvers/marketmodelvolprocess.ts:31
Returns Real []
stepSd
Defined in ql/models/marketmodels/evolvers/marketmodelvolprocess.ts:27
variatesPerStep
Defined in ql/models/marketmodels/evolvers/marketmodelvolprocess.ts:14
Legend
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Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brace in "Engineering BGM." Vol process is an external input.