template struct xf::fintech::lmmVolatilityGenerator

#include "lmm.hpp"

Overview

Class with functions for volatility calibration and bootstrapping for the LMM.

Parameters:

DT	The data type for the volatility values.
MAX_TENORS	Maximum number of synthetisable tenors.

template <
    typename DT,
    unsigned MAX_TENORS
    >
struct lmmVolatilityGenerator

Methods

piecewiseConstVolatility

static void piecewiseConstVolatility (
    unsigned noTenors,
    DT capletVola [MAX_TENORS],
    hls::stream <DT>& sigma
    )

Implements time-homogeneous piecewise constant volatility functions. The volatility functions will be calibrated to implied caplet volatilities.