#include <ql/models/marketmodels/evolvers/svddfwdratepc.hpp>
Inheritance diagram for SVDDFwdRatePc:Public Member Functions | |
| SVDDFwdRatePc (const ext::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const ext::shared_ptr< MarketModelVolProcess > &volProcess, Size firstVolatilityFactor, Size volatilityFactorStep, const std::vector< Size > &numeraires, Size initialStep=0) | |
MarketModel interface | |
| const std::vector< Size > & | numeraires () const |
| Real | startNewPath () |
| Real | advanceStep () |
| Size | currentStep () const |
| const CurveState & | currentState () const |
| void | setInitialState (const CurveState &) |
Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brac in "Engineering BGM." Vol process is an external input.