LfmCovarianceProxy Class Reference

proxy for a libor forward model covariance parameterization More...

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

Inheritance diagram for LfmCovarianceProxy:

Public Member Functions
	LfmCovarianceProxy (const ext::shared_ptr< LmVolatilityModel > &volaModel, const ext::shared_ptr< LmCorrelationModel > &corrModel)
ext::shared_ptr< LmVolatilityModel >	volatilityModel () const
ext::shared_ptr< LmCorrelationModel >	correlationModel () const
Disposable< Matrix >	diffusion (Time t, const Array &x=Null< Array >()) const
Disposable< Matrix >	covariance (Time t, const Array &x=Null< Array >()) const
virtual Real	integratedCovariance (Size i, Size j, Time t, const Array &x=Null< Array >()) const
virtual Disposable< Matrix >	integratedCovariance (Time t, const Array &x=Null< Array >()) const
Public Member Functions inherited from LfmCovarianceParameterization
	LfmCovarianceParameterization (Size size, Size factors)
Size	size () const
Size	factors () const
virtual Disposable< Matrix >	integratedCovariance (Time t, const Array &x=Null< Array >()) const

Protected Attributes
const ext::shared_ptr< LmVolatilityModel >	volaModel_
const ext::shared_ptr< LmCorrelationModel >	corrModel_
Protected Attributes inherited from LfmCovarianceParameterization
const Size	size_
const Size	factors_

Friends
class	Var_Helper

Detailed Description

proxy for a libor forward model covariance parameterization