LfmCovarianceParameterization Class Reference
#include <ql/processes/lfmcovarparam.hpp>
Inheritance diagram for LfmCovarianceParameterization:

Detailed Description
Libor market model parameterizationBrigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003, Different Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration (<http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf>)
Public Member Functions | |
LfmCovarianceParameterization (Size size, Size factors) | |
Size | size () const |
Size | factors () const |
virtual Disposable< Matrix > | diffusion (Time t, const Array &x=Null< Array >()) const=0 |
virtual Disposable< Matrix > | covariance (Time t, const Array &x=Null< Array >()) const |
virtual Disposable< Matrix > | integratedCovariance (Time t, const Array &x=Null< Array >()) const |
Protected Attributes | |
const Size | size_ |
const Size | factors_ |