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liborforwardmodel.hpp
Langue: en
Version: 379336 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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