LfmCovarianceProxy Class Reference

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

Inheritance diagram for LfmCovarianceProxy:

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List of all members.

Detailed Description

proxy for a libor forward model covariance parameterization


Public Member Functions

 LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)
boost::shared_ptr< LmVolatilityModelvolatilityModel () const
boost::shared_ptr< LmCorrelationModelcorrelationModel () const
Disposable< Matrixdiffusion (Time t, const Array &x=Null< Array >()) const
Disposable< Matrixcovariance (Time t, const Array &x=Null< Array >()) const
virtual Real integratedCovariance (Size i, Size j, Time t, const Array &x=Null< Array >()) const

Protected Attributes

const boost::shared_ptr< LmVolatilityModelvolaModel_
const boost::shared_ptr< LmCorrelationModelcorrModel_

Friends

class Var_Helper