LfmHullWhiteParameterization Class Reference
#include <ql/processes/lfmhullwhiteparam.hpp>
Inheritance diagram for LfmHullWhiteParameterization:

Detailed Description
Libor market model parameterization based on Hull White paperHull, 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< Matrix > | diffusion (Time t, const Array &x=Null< Array >()) const |
Disposable< Matrix > | covariance (Time t, const Array &x=Null< Array >()) const |
Disposable< Matrix > | integratedCovariance (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_ |