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<h1>LfmCovarianceParameterization Class Reference</h1><!-- doxytag: class="QuantLib::LfmCovarianceParameterization" --><code>#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp></code>
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Inheritance diagram for LfmCovarianceParameterization:</div>
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<map name="_lfm_covariance_parameterization__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_lfm_covariance_proxy.html" title="proxy for a libor forward model covariance parameterization" alt="" coords="5,84,165,111"><area shape="rect" href="class_quant_lib_1_1_lfm_hull_white_parameterization.html" title="Libor market model parameterization based on Hull White paper" alt="" coords="189,84,408,111"></map>
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<a href="class_quant_lib_1_1_lfm_covariance_parameterization-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Libor market model parameterization
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Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003, Different Covariance Parameterizations of the <a class="el" href="class_quant_lib_1_1_libor.html" title="base class for all BBA LIBOR indexes but the EUR ones">Libor</a> Market Model and Joint Caps/Swaptions Calibration (<<a href="http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf">http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf</a>>) <table border="0" cellpadding="0" cellspacing="0">
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<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="28186f7bbcc9ede01363ab8bf7a70d44"></a><!-- doxytag: member="QuantLib::LfmCovarianceParameterization::LfmCovarianceParameterization" ref="28186f7bbcc9ede01363ab8bf7a70d44" args="(Size size, Size factors)" -->
</td><td class="memItemRight" valign="bottom"><b>LfmCovarianceParameterization</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> size, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> factors)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9d78a687cf2a391198bb3cbc08bc06cb"></a><!-- doxytag: member="QuantLib::LfmCovarianceParameterization::size" ref="9d78a687cf2a391198bb3cbc08bc06cb" args="() const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f712ecab6d5754978fed3860efc7f661"></a><!-- doxytag: member="QuantLib::LfmCovarianceParameterization::factors" ref="f712ecab6d5754978fed3860efc7f661" args="() const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>factors</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a158a54d0b3cc781418e3b64e18fcdcb"></a><!-- doxytag: member="QuantLib::LfmCovarianceParameterization::diffusion" ref="a158a54d0b3cc781418e3b64e18fcdcb" args="(Time t, const Array &x=Null< Array >()) const =0" -->
virtual <a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><b>diffusion</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> >()) const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2d125d636a3618f4fc60050baf7c3fd"></a><!-- doxytag: member="QuantLib::LfmCovarianceParameterization::covariance" ref="d2d125d636a3618f4fc60050baf7c3fd" args="(Time t, const Array &x=Null< Array >()) const " -->
virtual <a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><b>covariance</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> >()) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9e0d819083f581d34120c40617baf7a6"></a><!-- doxytag: member="QuantLib::LfmCovarianceParameterization::integratedCovariance" ref="9e0d819083f581d34120c40617baf7a6" args="(Time t, const Array &x=Null< Array >()) const " -->
virtual <a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><b>integratedCovariance</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> >()) 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="6bc74a91ed4c6cb51d2fa5b1f8cdaf60"></a><!-- doxytag: member="QuantLib::LfmCovarianceParameterization::size_" ref="6bc74a91ed4c6cb51d2fa5b1f8cdaf60" args="" -->
const <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="19357300f903f9594909f2aa2c729ac5"></a><!-- doxytag: member="QuantLib::LfmCovarianceParameterization::factors_" ref="19357300f903f9594909f2aa2c729ac5" args="" -->
const <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>factors_</b></td></tr>
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