lmcorrmodel.hpp

Langue: en

Autres versions - même langue

Version: 378256 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/legacy/libormarketmodels/lmcorrmodel.hpp -

correlation model for libor market models

SYNOPSIS


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

Classes


class LmCorrelationModel
libor forward correlation model

Detailed Description

correlation model for libor market models

Author

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