LmCorrelationModel Class Reference

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

Inheritance diagram for LmCorrelationModel:

Inheritance graph
[legend]
List of all members.

Detailed Description

libor forward correlation model


Public Member Functions

 LmCorrelationModel (Size size, Size nArguments)
virtual Size size () const
virtual Size factors () const
std::vector< Parameter > & params ()
void setParams (const std::vector< Parameter > &arguments)
virtual Disposable< Matrixcorrelation (Time t, const Array &x=Null< Array >()) const=0
virtual Disposable< MatrixpseudoSqrt (Time t, const Array &x=Null< Array >()) const
virtual Real correlation (Size i, Size j, Time t, const Array &x=Null< Array >()) const
virtual bool isTimeIndependent () const

Protected Member Functions

virtual void generateArguments ()=0

Protected Attributes

const Size size_
std::vector< Parameterarguments_