# factors (3) - Linux Man Pages

## factors: 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

Generated automatically by Doxygen for QuantLib from the source code.