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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_lfm_covariance_parameterization.html">LfmCovarianceParameterization</a></li> </ul>
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<div class="title">LfmCovarianceParameterization Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<p>Libor market model parameterization
<a href="class_quant_lib_1_1_lfm_covariance_parameterization.html#details">More...</a></p>
<p><code>#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for LfmCovarianceParameterization:</div>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>LfmCovarianceParameterization</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> size, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> factors)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size</b> () const</td></tr>
<tr class="separator:acce0ab2cacc475b2434f24c65c91685a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a80d7c2dfc8a2fa937425f38ce5cacd41"><td class="memItemLeft" align="right" valign="top"><a id="a80d7c2dfc8a2fa937425f38ce5cacd41"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>factors</b> () const</td></tr>
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<tr class="memitem:aa158a54d0b3cc781418e3b64e18fcdcb"><td class="memItemLeft" align="right" valign="top"><a id="aa158a54d0b3cc781418e3b64e18fcdcb"></a>
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#ga14fb8fca43a68f4168654e1f9f7e22f7">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>
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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#ga14fb8fca43a68f4168654e1f9f7e22f7">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>
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<tr class="memitem:a83a1dcfb66a38b01916b50673ee9bccc"><td class="memItemLeft" align="right" valign="top"><a id="a83a1dcfb66a38b01916b50673ee9bccc"></a>
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#ga14fb8fca43a68f4168654e1f9f7e22f7">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>
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const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size_</b></td></tr>
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const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>factors_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Libor market model parameterization </p>
<p>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 ICE LIBOR indexes but the EUR, O/N, and S/N 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>) </p>
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