org.jquantlib.legacy.libormarkets

Class LmLinearExponentialVolatilityModel

java.lang.Object

org.jquantlib.legacy.libormarkets.LmVolatilityModel

org.jquantlib.legacy.libormarkets.LmLinearExponentialVolatilityModel

public abstract class LmLinearExponentialVolatilityModel
extends LmVolatilityModel

Constructor Summary

Constructors

Constructor and Description
LmLinearExponentialVolatilityModel(java.util.List<java.lang.Double> fixingTimes, double a, double b, double c, double d)

Method Summary

Modifier and Type	Method and Description
void	generateArguments()
double	integratedVariance(int i, int j, double u, java.util.List list)
java.util.List<java.lang.Double>	volatility(double t, java.util.List list)
double	volatility(int i, double t, java.util.List list)

Methods inherited from class org.jquantlib.legacy.libormarkets.LmVolatilityModel

integratedVariance, isTimeIndependent, setParams, size, volatility, volatility, volatility, volatility

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

LmLinearExponentialVolatilityModel

public LmLinearExponentialVolatilityModel(java.util.List<java.lang.Double> fixingTimes,
                                          double a,
                                          double b,
                                          double c,
                                          double d)

Method Detail

volatility

public java.util.List<java.lang.Double> volatility(double t,
                                                   java.util.List list)

volatility

public double volatility(int i,
                         double t,
                         java.util.List list)

integratedVariance

public double integratedVariance(int i,
                                 int j,
                                 double u,
                                 java.util.List list)

generateArguments

public void generateArguments()