lfmprocess.hpp

Langue: en

Autres versions - même langue

Version: 375915 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/legacy/libormarketmodels/lfmprocess.hpp -

stochastic process of a libor forward model

SYNOPSIS


#include <ql/cashflow.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>

Classes


class LiborForwardModelProcess
libor-forward-model process

Detailed Description

stochastic process of a libor forward model

Author

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