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Sourcecode: quantlib version File versions

lfmcovarproxy.hpp File Reference

Detailed Description

proxy for libor forward covariance parameterization

Definition in file lfmcovarproxy.hpp.

#include <ql/processes/lfmcovarparam.hpp>
#include <ql/legacy/libormarketmodels/lmvolmodel.hpp>
#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>

Go to the source code of this file.


namespace  QuantLib


class  QuantLib::LfmCovarianceProxy
 proxy for a libor forward model covariance parameterization More...

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