QuantLib_LmCorrelationModel man page

LmCorrelationModel — libor forward correlation model


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

Inherited by LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel.

Public Member Functions

LmCorrelationModel (Size size, Size nArguments)

virtual Size size () const

virtual Size factors () const

std::vector< Parameter > & params ()

void setParams (const std::vector< Parameter > &arguments)

virtual Disposable< Matrix > correlation (Time t, const Array &x=Null< Array >()) const =0

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

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

virtual bool isTimeIndependent () const

Protected Member Functions

virtual void generateArguments ()=0

Protected Attributes

const Size size_

std::vector< Parameter > arguments_

Detailed Description

libor forward correlation model


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

isTimeIndependent(3), LmCorrelationModel(3) and pseudoSqrt(3) are aliases of QuantLib_LmCorrelationModel(3).

QuantLib Version 1.8.1 Fri Sep 23 2016