template struct xf::fintech::lmmModelData

#include "lmm.hpp"

Class with internal data used by the LMM path generation.

template <
    typename DT,
    unsigned NF,
    unsigned MAX_TENORS
struct lmmModelData: public xf::fintech::lmmModelParams

// fields

static constexpr unsigned N_MATURITIES
static constexpr unsigned N_CORR
DT m_rho[triMatSize(N_MATURITIES)]
DT m_sigma[triMatSize(N_MATURITIES)]
DT m_eta[N_CORR][NF]
DT m_presentRate[MAX_TENORS]

Inherited Members

// fields

static constexpr double tau
static constexpr double sqrtTau