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

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< Matrix > | correlation (Time t, const Array &x=Null< Array >()) const=0 |
virtual Disposable< Matrix > | pseudoSqrt (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< Parameter > | arguments_ |