getSwaptionVolatilityMatrix (3) - Linux Manuals
getSwaptionVolatilityMatrix: Libor forward model
NAME
QuantLib::LiborForwardModel - Libor forward model
SYNOPSIS
#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp>
Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel.
Public Member Functions
LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)
Rate S_0 (Size alpha, Size beta) const
virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const
DiscountFactor discount (Time t) const
Implied discount curve.
Real discountBond (Time now, Time maturity, Array factors) const
Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
void setParams (const Array ¶ms)
Protected Member Functions
Disposable< Array > w_0 (Size alpha, Size beta) const
Protected Attributes
std::vector< Real > f_
std::vector< Time > accrualPeriod_
const boost::shared_ptr< LfmCovarianceProxy > covarProxy_
const boost::shared_ptr< LiborForwardModelProcess > process_
boost::shared_ptr< SwaptionVolatilityMatrix > swaptionVola
Detailed Description
Libor forward model
References:
Stefan Weber, 2005, Efficient Calibration for Libor Market Models, (<http://workshop.mathfinance.de/2005/papers/weber/slides.pdf>)
Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (<http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf>
Tests
- the correctness is tested using Monte-Carlo Simulation to reproduce swaption npvs, model calibration and exact cap pricing
Author
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