LiborForwardModel Class Reference

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

Inheritance diagram for LiborForwardModel:

Inheritance graph
[legend]
List of all members.

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


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 &params)

Protected Member Functions

Disposable< Arrayw_0 (Size alpha, Size beta) const

Protected Attributes

std::vector< Real > f_
std::vector< Time > accrualPeriod_
const boost::shared_ptr< LfmCovarianceProxycovarProxy_
const boost::shared_ptr< LiborForwardModelProcessprocess_
boost::shared_ptr< SwaptionVolatilityMatrixswaptionVola