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QuantLib_LfmHullWhiteParameterization
Langue: en
Version: 373496 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::LfmHullWhiteParameterization -Libor market model parameterization based on Hull White paper
SYNOPSIS
#include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp>
Inherits QuantLib::LfmCovarianceParameterization.
Public Member Functions
LfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1)
Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const
Disposable< Matrix > covariance (Time t, const Array &x=Null< Array >()) const
Disposable< Matrix > integratedCovariance (Time t, const Array &x=Null< Array >()) const
Protected Member Functions
Size nextIndexReset (Time t) const
Protected Attributes
Matrix diffusion_
Matrix covariance_
std::vector< Time > fixingTimes_
Detailed Description
Libor market model parameterization based on Hull White paper
Hull, John, White, Alan, 1999, Forward Rate Volatilities, Swap Rate Volatilities and the Implementation of the Libor Market Model (<http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf>)
Tests
- the correctness is tested by Monte-Carlo reproduction of caplet & ratchet npvs and comparison with Black pricing.
Author
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