volatilityModel (3) Linux Manual Page

QuantLib::LfmCovarianceProxy – proxy for a libor forward model covariance parameterization

Synopsis

LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)



boost::shared_ptr< LmVolatilityModel > volatilityModel () const



boost::shared_ptr< LmCorrelationModel > correlationModel () const



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



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



virtual Real integratedCovariance (Size i, Size j, Time t, const Array &x=Null< Array >()) const



Protected Attributes
const boost::shared_ptr< LmVolatilityModel > volaModel_



const boost::shared_ptr< LmCorrelationModel > corrModel_



Friends

Inherits QuantLib::LfmCovarianceParameterization.

Public Member Functions

LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)



boost::shared_ptr< LmVolatilityModel > volatilityModel () const



boost::shared_ptr< LmCorrelationModel > correlationModel () const



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



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



virtual Real integratedCovariance (Size i, Size j, Time t, const Array &x=Null< Array >()) const



Protected Attributes
const boost::shared_ptr< LmVolatilityModel > volaModel_



const boost::shared_ptr< LmCorrelationModel > corrModel_



Friends

class Var_Helper

Detailed Description

proxy for a libor forward model covariance parameterization

Author

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