Var_Helper (3) - Linux Manuals
Var_Helper: proxy for a libor forward model covariance parameterization
NAME
QuantLib::LfmCovarianceProxy - proxy for a libor forward model covariance parameterization
SYNOPSIS
#include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp>
Inherits QuantLib::LfmCovarianceParameterization.
Public Member Functions
LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)
boost::shared_ptr< LmVolatilityModel > volatilityModel () const
boost::shared_ptr< LmCorrelationModel > correlationModel () const
Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const
Disposable< Matrix > covariance (Time t, const Array &x=Null< Array >()) const
virtual Real integratedCovariance (Size i, Size j, Time t, const Array &x=Null< Array >()) const
Protected Attributes
const boost::shared_ptr< LmVolatilityModel > volaModel_
const boost::shared_ptr< LmCorrelationModel > corrModel_
Friends
Detailed Description
proxy for a libor forward model covariance parameterization
Author
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