QuantLib_LmCorrelationModel man page

LmCorrelationModel — libor forward correlation model  

Synopsis

#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

Author

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).

Fri Feb 10 2017 Version 1.9.1 QuantLib