QuantLib_LiborForwardModel man page

LiborForwardModel — Libor forward model  


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

Inherits CalibratedModel, and AffineModel.

Public Member Functions

LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)
Rate S_0 (Size alpha, Size beta) const
virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const
DiscountFactor discount (Time t) const
Implied discount curve.
Real discountBond (Time now, Time maturity, Array factors) const
Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
void setParams (const Array &params)

Protected Member Functions

Disposable< Array > w_0 (Size alpha, Size beta) const

Protected Attributes

std::vector< Real > f_
std::vector< Time > accrualPeriod_
const boost::shared_ptr< LfmCovarianceProxy > covarProxy_
const boost::shared_ptr< LiborForwardModelProcess > process_
boost::shared_ptr< SwaptionVolatilityMatrix > swaptionVola

Additional Inherited Members

Detailed Description

Libor forward model


Stefan Weber, 2005, Efficient Calibration for Libor Market Models, (http://workshop.mathfinance.de/2005/papers/weber/slides.pdf)

Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf


the correctness is tested using Monte-Carlo Simulation to reproduce swaption npvs, model calibration and exact cap pricing


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages covarProxy_(3), f_(3), getSwaptionVolatilityMatrix(3), LiborForwardModel(3), S_0(3), swaptionVola(3) and w_0(3) are aliases of QuantLib_LiborForwardModel(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib