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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_libor_forward_model.html">LiborForwardModel</a></div>
<h1>LiborForwardModel Class Reference</h1><!-- doxytag: class="QuantLib::LiborForwardModel" --><!-- doxytag: inherits="QuantLib::CalibratedModel,QuantLib::AffineModel" --><code>#include <ql/ShortRateModels/LiborMarketModels/liborforwardmodel.hpp></code>
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Inheritance diagram for LiborForwardModel:<p><center><img src="class_quant_lib_1_1_libor_forward_model__inherit__graph.png" border="0" usemap="#_libor_forward_model__inherit__map" alt="Inheritance graph"></center>
<map name="_libor_forward_model__inherit__map">
<area href="class_quant_lib_1_1_calibrated_model.html" shape="rect" coords="5,82,136,106" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="29,7,112,31" alt="">
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_libor_forward_model-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<a class="el" href="class_quant_lib_1_1_libor.html">Libor</a> <a class="el" href="class_quant_lib_1_1_forward.html">Forward</a> Model.
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References:<p>
Stefan Weber, 2005, Efficient Calibration for <a class="el" href="class_quant_lib_1_1_libor.html">Libor</a> Market Models, (<<a href="http://workshop.mathfinance.de/2005/papers/weber/slides.pdf">http://workshop.mathfinance.de/2005/papers/weber/slides.pdf</a>>)<p>
Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of <a class="el" href="class_quant_lib_1_1_libor.html">Libor</a> Market Model and Joint Caps/Swaptions Calibration, (<<a href="http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf">http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf</a>><p>
<dl compact><dt><b><a class="el" href="test.html#_test000113">Tests:</a></b></dt><dd>the correctness is tested using Monte-Carlo Simulation to reproduce swaption npvs, model calibration and exact cap pricing </dd></dl>
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<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a6b4ca3d94c5fb230cad0b17de1af907"></a><!-- doxytag: member="QuantLib::LiborForwardModel::LiborForwardModel" ref="a6b4ca3d94c5fb230cad0b17de1af907" args="(const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)" -->
</td><td class="memItemRight" valign="bottom"><b>LiborForwardModel</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_libor_forward_model_process.html">LiborForwardModelProcess</a> > &process, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_lm_volatility_model.html">LmVolatilityModel</a> > &volaModel, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_lm_correlation_model.html">LmCorrelationModel</a> > &corrModel)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="27b1d872c3923398b4c732015664f228"></a><!-- doxytag: member="QuantLib::LiborForwardModel::S_0" ref="27b1d872c3923398b4c732015664f228" args="(Size alpha, Size beta) const" -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>S_0</b> (Size alpha, Size beta) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="80cff2a5f9bc76f0e7237e3b6f5df32e"></a><!-- doxytag: member="QuantLib::LiborForwardModel::getSwaptionVolatilityMatrix" ref="80cff2a5f9bc76f0e7237e3b6f5df32e" args="() const" -->
virtual boost::shared_ptr<<br>
<a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html">SwaptionVolatilityMatrix</a> > </td><td class="memItemRight" valign="bottom"><b>getSwaptionVolatilityMatrix</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="69a7c0281cc05c0c70142afd62e7b0f1"></a><!-- doxytag: member="QuantLib::LiborForwardModel::discount" ref="69a7c0281cc05c0c70142afd62e7b0f1" args="(Time t) const" -->
<a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_libor_forward_model.html#69a7c0281cc05c0c70142afd62e7b0f1">discount</a> (Time t) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Implied discount curve. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d40ab6bb3d1669db2b1869aebf746052"></a><!-- doxytag: member="QuantLib::LiborForwardModel::discountBond" ref="d40ab6bb3d1669db2b1869aebf746052" args="(Time now, Time maturity, Array factors) const" -->
Real </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (Time now, Time maturity, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> factors) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0b47448ed1ba48ac5138854aed3f1d49"></a><!-- doxytag: member="QuantLib::LiborForwardModel::discountBondOption" ref="0b47448ed1ba48ac5138854aed3f1d49" args="(Option::Type type, Real strike, Time maturity, Time bondMaturity) const " -->
Real </td><td class="memItemRight" valign="bottom"><b>discountBondOption</b> (Option::Type type, Real strike, Time maturity, Time bondMaturity) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e83c058519d7bfc23a3101b42ee038bf"></a><!-- doxytag: member="QuantLib::LiborForwardModel::setParams" ref="e83c058519d7bfc23a3101b42ee038bf" args="(const Array &params)" -->
void </td><td class="memItemRight" valign="bottom"><b>setParams</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &params)</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7601b146ac5f307f65892b3b319a1697"></a><!-- doxytag: member="QuantLib::LiborForwardModel::w_0" ref="7601b146ac5f307f65892b3b319a1697" args="(Size alpha, Size beta) const" -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><b>w_0</b> (Size alpha, Size beta) const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b409f512ec841201ad84855ff6d3e0ba"></a><!-- doxytag: member="QuantLib::LiborForwardModel::f_" ref="b409f512ec841201ad84855ff6d3e0ba" args="" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>f_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5b942336204b3a7d7090531b38513248"></a><!-- doxytag: member="QuantLib::LiborForwardModel::accrualPeriod_" ref="5b942336204b3a7d7090531b38513248" args="" -->
std::vector< Time > </td><td class="memItemRight" valign="bottom"><b>accrualPeriod_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cb670a6043d4fa20b655e8889630f4b6"></a><!-- doxytag: member="QuantLib::LiborForwardModel::covarProxy_" ref="cb670a6043d4fa20b655e8889630f4b6" args="" -->
const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_lfm_covariance_proxy.html">LfmCovarianceProxy</a> > </td><td class="memItemRight" valign="bottom"><b>covarProxy_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="910bbc0fb7f04ac9c51851cb5dd61f73"></a><!-- doxytag: member="QuantLib::LiborForwardModel::process_" ref="910bbc0fb7f04ac9c51851cb5dd61f73" args="" -->
const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_libor_forward_model_process.html">LiborForwardModelProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7cf61d7a515a3e03d77dd6b9cc0ec2f5"></a><!-- doxytag: member="QuantLib::LiborForwardModel::swaptionVola" ref="7cf61d7a515a3e03d77dd6b9cc0ec2f5" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html">SwaptionVolatilityMatrix</a> > </td><td class="memItemRight" valign="bottom"><b>swaptionVola</b></td></tr>
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