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<!-- doxytag: class="QuantLib::LiborForwardModel" --><!-- doxytag: inherits="QuantLib::CalibratedModel,QuantLib::AffineModel" -->
<p>Libor forward model
<a href="class_quant_lib_1_1_libor_forward_model.html#details">More...</a></p>
<p><code>#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp></code></p>
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Inheritance diagram for LiborForwardModel:</div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_calibrated_model.html" title="Calibrated model class." alt="" coords="5,6,120,37"/><area shape="rect" id="node4" href="class_quant_lib_1_1_affine_model.html" title="Affine model class." alt="" coords="144,6,232,37"/></map>
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<p><a href="class_quant_lib_1_1_libor_forward_model-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa6b4ca3d94c5fb230cad0b17de1af907"></a><!-- doxytag: member="QuantLib::LiborForwardModel::LiborForwardModel" ref="aa6b4ca3d94c5fb230cad0b17de1af907" 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" align="right" valign="top"><a class="anchor" id="a42a0944ff9657f6e09b675236c3d988c"></a><!-- doxytag: member="QuantLib::LiborForwardModel::S_0" ref="a42a0944ff9657f6e09b675236c3d988c" args="(Size alpha, Size beta) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>S_0</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> alpha, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> beta) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4eea92d30a83afe5659443d0f391f180"></a><!-- doxytag: member="QuantLib::LiborForwardModel::getSwaptionVolatilityMatrix" ref="a4eea92d30a83afe5659443d0f391f180" args="() const " -->
virtual boost::shared_ptr<br class="typebreak"/>
< <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" align="right" valign="top"><a class="anchor" id="ae85d814b067b54d8e1ea803a90a6db32"></a><!-- doxytag: member="QuantLib::LiborForwardModel::discount" ref="ae85d814b067b54d8e1ea803a90a6db32" args="(Time t) const " -->
<a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_libor_forward_model.html#ae85d814b067b54d8e1ea803a90a6db32">discount</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Implied discount curve. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1324bc7ce72e493fb4aa734a4cb6ec85"></a><!-- doxytag: member="QuantLib::LiborForwardModel::discountBond" ref="a1324bc7ce72e493fb4aa734a4cb6ec85" args="(Time now, Time maturity, Array factors) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> now, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> factors) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0b47448ed1ba48ac5138854aed3f1d49"></a><!-- doxytag: member="QuantLib::LiborForwardModel::discountBondOption" ref="a0b47448ed1ba48ac5138854aed3f1d49" args="(Option::Type type, Real strike, Time maturity, Time bondMaturity) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBondOption</b> (Option::Type type, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> bondMaturity) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae83c058519d7bfc23a3101b42ee038bf"></a><!-- doxytag: member="QuantLib::LiborForwardModel::setParams" ref="ae83c058519d7bfc23a3101b42ee038bf" 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> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#abf0665e7524410c40a874b86db642511">params</a>)</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5f6a0013642e5580569ff0b15642c43b"></a><!-- doxytag: member="QuantLib::LiborForwardModel::w_0" ref="a5f6a0013642e5580569ff0b15642c43b" 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> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> alpha, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> beta) const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab409f512ec841201ad84855ff6d3e0ba"></a><!-- doxytag: member="QuantLib::LiborForwardModel::f_" ref="ab409f512ec841201ad84855ff6d3e0ba" args="" -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>f_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5b942336204b3a7d7090531b38513248"></a><!-- doxytag: member="QuantLib::LiborForwardModel::accrualPeriod_" ref="a5b942336204b3a7d7090531b38513248" args="" -->
std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><b>accrualPeriod_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="acb670a6043d4fa20b655e8889630f4b6"></a><!-- doxytag: member="QuantLib::LiborForwardModel::covarProxy_" ref="acb670a6043d4fa20b655e8889630f4b6" args="" -->
const boost::shared_ptr<br class="typebreak"/>
< <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" align="right" valign="top"><a class="anchor" id="a910bbc0fb7f04ac9c51851cb5dd61f73"></a><!-- doxytag: member="QuantLib::LiborForwardModel::process_" ref="a910bbc0fb7f04ac9c51851cb5dd61f73" args="" -->
const boost::shared_ptr<br class="typebreak"/>
< <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" align="right" valign="top"><a class="anchor" id="a7cf61d7a515a3e03d77dd6b9cc0ec2f5"></a><!-- doxytag: member="QuantLib::LiborForwardModel::swaptionVola" ref="a7cf61d7a515a3e03d77dd6b9cc0ec2f5" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <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>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Libor forward model </p>
<p>References:</p>
<p>Stefan Weber, 2005, Efficient Calibration for <a class="el" href="class_quant_lib_1_1_libor.html" title="base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones">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>
<p>Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of <a class="el" href="class_quant_lib_1_1_libor.html" title="base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones">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 class="test"><dt><b><a class="el" href="test.html#_test000026">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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