LiborForwardModel Class Reference
#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp>
Inheritance diagram for LiborForwardModel:

Detailed Description
Libor forward modelReferences:
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 ¶ms) |
Protected Member Functions | |
Disposable< Array > | w_0 (Size alpha, Size beta) const |
Protected Attributes | |
std::vector< Real > | f_ |
std::vector< Time > | accrualPeriod_ |
const boost::shared_ptr< LfmCovarianceProxy > | covarProxy_ |
const boost::shared_ptr< LiborForwardModelProcess > | process_ |
boost::shared_ptr< SwaptionVolatilityMatrix > | swaptionVola |