SVMODEL Class Reference

Stochastic volatility model. More...

#include <models.h>

Inheritance diagram for SVMODEL:

List of all members.

Public Member Functions
virtual matrix	simulate (long n)
	simulates the SV-process.
virtual matrix	simulateS (long n)
	simulates the volatility of the SV-process.
Protected Attributes
double	Delta
	the timedistance between the observations.
long	PointsPerDelta
	the number of subintervals for each Delta.

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Detailed Description

Stochastic volatility model.

inherits from MARKOVMODEL

Definition at line 262 of file models.h.

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The documentation for this class was generated from the following files:

• models.h
• models.cpp

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