#include <ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp>
 Inheritance diagram for SquareRootAndersen:
 Inheritance diagram for SquareRootAndersen:| Public Member Functions | |
| SquareRootAndersen (Real meanLevel, Real reversionSpeed, Real volVar, Real v0, const std::vector< Real > &evolutionTimes, Size numberSubSteps_, Real w1, Real w2, Real cutPoint=1.5) | |
| virtual Size | variatesPerStep () | 
| virtual Size | numberSteps () | 
| virtual void | nextPath () | 
| virtual Real | nextstep (const std::vector< Real > &variates) | 
| virtual Real | stepSd () const | 
| virtual const std::vector< Real > & | stateVariables () const | 
| virtual Size | numberStateVariables () const | 
Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brace in "Engineering BGM." Vol process is an external input.