QuantLib_LfmCovarianceProxy man page

LfmCovarianceProxy — proxy for a libor forward model covariance parameterization

Synopsis

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

Inherits LfmCovarianceParameterization.

Public Member Functions

LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)

boost::shared_ptr< LmVolatilityModel > volatilityModel () const

boost::shared_ptr< LmCorrelationModel > correlationModel () const

Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const

Disposable< Matrix > covariance (Time t, const Array &x=Null< Array >()) const

virtual Real integratedCovariance (Size i, Size j, Time t, const Array &x=Null< Array >()) const

Protected Attributes

const boost::shared_ptr< LmVolatilityModel > volaModel_

const boost::shared_ptr< LmCorrelationModel > corrModel_

Friends

class Var_Helper

Detailed Description

proxy for a libor forward model covariance parameterization

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

correlationModel(3), corrModel_(3), LfmCovarianceProxy(3), Var_Helper(3), volaModel_(3) and volatilityModel(3) are aliases of QuantLib_LfmCovarianceProxy(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib