lfmhullwhiteparam (3) Linux Manual Page

ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp – libor market model parameterization based on Hull White

Synopsis

#include <ql/legacy/libormarketmodels/lfmprocess.hpp>
#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>

Classes

class LfmHullWhiteParameterization
Libor market model parameterization based on Hull White paper

Detailed Description

libor market model parameterization based on Hull White

Author

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