Rechercher une page de manuel
QuantLib_LfmCovarianceProxy
Langue: en
Version: 380969 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre