QuantLib_LfmCovarianceParameterization man page

LfmCovarianceParameterization — Libor market model parameterization  

Synopsis

#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>

Inherited by LfmCovarianceProxy, and LfmHullWhiteParameterization.

Public Member Functions

LfmCovarianceParameterization (Size size, Size factors)
Size size () const
Size factors () const
virtual Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const =0
virtual Disposable< Matrix > covariance (Time t, const Array &x=Null< Array >()) const
virtual Disposable< Matrix > integratedCovariance (Time t, const Array &x=Null< Array >()) const

Protected Attributes

const Size size_
const Size factors_

Detailed Description

Libor market model parameterization

Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003, Different Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration (http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf)

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

factors_(3), integratedCovariance(3), LfmCovarianceParameterization(3) and size_(3) are aliases of QuantLib_LfmCovarianceParameterization(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib