LfmHullWhiteParameterization Class Reference

#include <ql/processes/lfmhullwhiteparam.hpp>

Inheritance diagram for LfmHullWhiteParameterization:

Inheritance graph
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List of all members.

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.


Public Member Functions

 LfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< CapletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1)
Disposable< Matrixdiffusion (Time t, const Array &x=Null< Array >()) const
Disposable< Matrixcovariance (Time t, const Array &x=Null< Array >()) const
Disposable< MatrixintegratedCovariance (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_