lfmcovarparam.hpp

Langue: en

Autres versions - même langue

Version: 163585 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/legacy/libormarketmodels/lfmcovarparam.hpp - volatility & correlation function for libor forward model process

SYNOPSIS


#include <ql/math/matrix.hpp>
#include <ql/utilities/null.hpp>

Classes


class LfmCovarianceParameterization
Libor market model parameterization

Detailed Description

volatility & correlation function for libor forward model process

Author

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