LfmCovarianceParameterization Class Reference

#include <ql/processes/lfmcovarparam.hpp>

Inheritance diagram for LfmCovarianceParameterization:

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List of all members.

Detailed Description

Libor market model parameterization

Brigo, 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< Matrixdiffusion (Time t, const Array &x=Null< Array >()) const=0
virtual Disposable< Matrixcovariance (Time t, const Array &x=Null< Array >()) const
virtual Disposable< MatrixintegratedCovariance (Time t, const Array &x=Null< Array >()) const

Protected Attributes

const Size size_
const Size factors_