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QuantLib::LfmCovarianceParameterization Class Reference

#include <lfmcovarparam.hpp>

Inheritance diagram for QuantLib::LfmCovarianceParameterization:

QuantLib::LfmCovarianceProxy QuantLib::LfmHullWhiteParameterization

List of all members.

Detailed Description

Libor market model parameterization

Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003, Different Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration (<http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf>)

Definition at line 39 of file lfmcovarparam.hpp.

Public Member Functions

virtual Disposable< Matrixcovariance (Time t, const Array &x=Null< Array >()) const
virtual Disposable< Matrixdiffusion (Time t, const Array &x=Null< Array >()) const =0
Size factors () const
virtual Disposable< MatrixintegratedCovariance (Time t, const Array &x=Null< Array >()) const
 LfmCovarianceParameterization (Size size, Size factors)
Size size () const

Protected Attributes

const Size factors_
const Size size_


class  Var_Helper

The documentation for this class was generated from the following files:

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