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

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

Wed Aug 2 2017 Version 1.10 QuantLib