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<title>QuantLib: LfmHullWhiteParameterization Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_lfm_hull_white_parameterization.html">LfmHullWhiteParameterization</a></div>
<h1>LfmHullWhiteParameterization Class Reference</h1><!-- doxytag: class="QuantLib::LfmHullWhiteParameterization" --><!-- doxytag: inherits="QuantLib::LfmCovarianceParameterization" --><code>#include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp></code>
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Inheritance diagram for LfmHullWhiteParameterization:</div>
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<p><center><img src="class_quant_lib_1_1_lfm_hull_white_parameterization__inherit__graph.png" border="0" usemap="#_lfm_hull_white_parameterization__inherit__map" alt="Inheritance graph"></center>
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<a href="class_quant_lib_1_1_lfm_hull_white_parameterization-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Libor market model parameterization based on Hull White paper
<p>
Hull, John, White, Alan, 1999, <a class="el" href="class_quant_lib_1_1_forward.html" title="Abstract base forward class.">Forward</a> Rate Volatilities, <a class="el" href="class_quant_lib_1_1_swap.html" title="Interest rate swap.">Swap</a> Rate Volatilities and the Implementation 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 (<<a href="http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf">http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf</a>>)<p>
<dl compact><dt><b><a class="el" href="test.html#_test000014">Tests:</a></b></dt><dd>the correctness is tested by Monte-Carlo reproduction of caplet & ratchet npvs and comparison with Black pricing. </dd></dl>
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<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="0a9d92c9beb820af6e0e6379490d2ce9"></a><!-- doxytag: member="QuantLib::LfmHullWhiteParameterization::LfmHullWhiteParameterization" ref="0a9d92c9beb820af6e0e6379490d2ce9" args="(const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1)" -->
</td><td class="memItemRight" valign="bottom"><b>LfmHullWhiteParameterization</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_optionlet_volatility_structure.html">OptionletVolatilityStructure</a> > &capletVol, const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &correlation=<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a>(), <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> factors=1)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="98f01d842b650489da3c57e779f73c93"></a><!-- doxytag: member="QuantLib::LfmHullWhiteParameterization::diffusion" ref="98f01d842b650489da3c57e779f73c93" args="(Time t, const Array &x=Null< Array >()) const " -->
<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 </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0278d24739a9bfc281246d6172530b49"></a><!-- doxytag: member="QuantLib::LfmHullWhiteParameterization::covariance" ref="0278d24739a9bfc281246d6172530b49" args="(Time t, const Array &x=Null< Array >()) const " -->
<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="badf15cf4c8136891d2e91d8f36a0baf"></a><!-- doxytag: member="QuantLib::LfmHullWhiteParameterization::integratedCovariance" ref="badf15cf4c8136891d2e91d8f36a0baf" args="(Time t, const Array &x=Null< Array >()) const " -->
<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 Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="50e781d78a77b91b09d63af7be8370e7"></a><!-- doxytag: member="QuantLib::LfmHullWhiteParameterization::nextIndexReset" ref="50e781d78a77b91b09d63af7be8370e7" args="(Time t) const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>nextIndexReset</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) 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="9e55213e724d95c783519226f9931af7"></a><!-- doxytag: member="QuantLib::LfmHullWhiteParameterization::diffusion_" ref="9e55213e724d95c783519226f9931af7" args="" -->
<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> </td><td class="memItemRight" valign="bottom"><b>diffusion_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3c4a5f11b286a206fe151fbc131b6dd0"></a><!-- doxytag: member="QuantLib::LfmHullWhiteParameterization::covariance_" ref="3c4a5f11b286a206fe151fbc131b6dd0" args="" -->
<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> </td><td class="memItemRight" valign="bottom"><b>covariance_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b8d80d95c018986943e14d484b6ff9c6"></a><!-- doxytag: member="QuantLib::LfmHullWhiteParameterization::fixingTimes_" ref="b8d80d95c018986943e14d484b6ff9c6" args="" -->
std::vector< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><b>fixingTimes_</b></td></tr>
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