LfmCovarianceParameterization (3) - Linux Man Pages

LfmCovarianceParameterization: Libor market model parameterization

NAME

QuantLib::LfmCovarianceParameterization - Libor market model parameterization

SYNOPSIS


#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>

Inherited by LfmCovarianceProxy, and LfmHullWhiteParameterization.

Public Member Functions


LfmCovarianceParameterization (Size size, Size factors)

Size size () const

Size factors () const

virtual Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const =0

virtual Disposable< Matrix > covariance (Time t, const Array &x=Null< Array >()) const

virtual Disposable< Matrix > integratedCovariance (Time t, const Array &x=Null< Array >()) const

Protected Attributes


const Size size_

const Size factors_

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>)

Author

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