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QuantLib::LfmHullWhiteParameterization – Libor market model parameterization based on Hull White paper

Synopsis

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

Inherits QuantLib::LfmCovarianceParameterization.

Public Member Functions

LfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1)

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

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

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

Protected Member Functions

Size nextIndexReset (Time t) const

Protected Attributes

Matrix diffusion_

Matrix covariance_

std::vector< Time > fixingTimes_

Detailed Description

Libor market model parameterization based on Hull White paper

Hull, John, White, Alan, 1999, Forward Rate Volatilities, Swap Rate Volatilities and the Implementation of the Libor Market Model (<http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf>)

Tests

the correctness is tested by Monte-Carlo reproduction of caplet & ratchet npvs and comparison with Black pricing.

Author

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