lfmprocess (3) - Linux Manuals

lfmprocess: stochastic process of a libor forward model

NAME

ql/legacy/libormarketmodels/lfmprocess.hpp - stochastic process of a libor forward model

SYNOPSIS

#include <ql/cashflow.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>

Classes

class LiborForwardModelProcess
libor-forward-model process

Detailed Description

stochastic process of a libor forward model

Author

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