liborforwardmodel.hpp

Langue: en

Autres versions - même langue

Version: 379336 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/legacy/libormarketmodels/liborforwardmodel.hpp -

libor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices.

SYNOPSIS


#include <ql/legacy/libormarketmodels/lfmprocess.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp>
#include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp>
#include <ql/models/model.hpp>
#include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp>

Classes


class LiborForwardModel
Libor forward model

Detailed Description

libor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices.

Author

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