QuantLib_LfmCovarianceProxy

Langue: en

Autres versions - même langue

Version: 380969 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::LfmCovarianceProxy -

proxy for a libor forward model covariance parameterization

SYNOPSIS


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

Inherits QuantLib::LfmCovarianceParameterization.

Public Member Functions


LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)

boost::shared_ptr< LmVolatilityModel > volatilityModel () const

boost::shared_ptr< LmCorrelationModel > correlationModel () const

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

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

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

Protected Attributes


const boost::shared_ptr< LmVolatilityModel > volaModel_

const boost::shared_ptr< LmCorrelationModel > corrModel_

Friends


class Var_Helper

Detailed Description

proxy for a libor forward model covariance parameterization

Author

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