A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
|
Libor market model parameterization More...
#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>
Inheritance diagram for LfmCovarianceParameterization:Public Member Functions | |
| LfmCovarianceParameterization (Size size, Size factors) | |
| Size | size () const |
| Size | factors () const |
| virtual Disposable< Matrix > | diffusion (Time t, const Array &x=Null< Array >()) const =0 |
| virtual Disposable< Matrix > | covariance (Time t, const Array &x=Null< Array >()) const |
| virtual Disposable< Matrix > | integratedCovariance (Time t, const Array &x=Null< Array >()) const |
Protected Attributes | |
| const Size | size_ |
| const Size | factors_ |
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)
