org.jquantlib.legacy.libormarkets

Class LmVolatilityModel

java.lang.Object

org.jquantlib.legacy.libormarkets.LmVolatilityModel

Direct Known Subclasses:

LmFixedVolatilityModel, LmLinearExponentialVolatilityModel

public abstract class LmVolatilityModel
extends java.lang.Object

Constructor Summary

Constructors

Constructor and Description
LmVolatilityModel(int size, int nArguments)

Method Summary

Modifier and Type	Method and Description
double	integratedVariance(int i, int ii, double t, Array list)
boolean	isTimeIndependent()
void	setParams(java.util.List<Parameter> arguments)
int	size()
Array	volatility(double t)
abstract Array	volatility(double t, Array x)
double	volatility(int i, double t)
double	volatility(int i, double t, Array x)

Methods inherited from class java.lang.Object

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

Constructor Detail

LmVolatilityModel

public LmVolatilityModel(int size,
                         int nArguments)

Method Detail

size

public int size()

isTimeIndependent

public boolean isTimeIndependent()

volatility

public double volatility(int i,
                         double t)

volatility

public double volatility(int i,
                         double t,
                         Array x)

volatility

public Array volatility(double t)

volatility

public abstract Array volatility(double t,
                                 Array x)

integratedVariance

public double integratedVariance(int i,
                                 int ii,
                                 double t,
                                 Array list)

setParams

public void setParams(java.util.List<Parameter> arguments)