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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_proxy.html">LfmCovarianceProxy</a></li> </ul>
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<p>proxy for a libor forward model covariance parameterization
<a href="class_quant_lib_1_1_lfm_covariance_proxy.html#details">More...</a></p>
<p><code>#include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for LfmCovarianceProxy:</div>
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>LfmCovarianceProxy</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_lm_volatility_model.html">LmVolatilityModel</a> > &volaModel, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_lm_correlation_model.html">LmCorrelationModel</a> > &corrModel)</td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_lm_volatility_model.html">LmVolatilityModel</a> > </td><td class="memItemRight" valign="bottom"><b>volatilityModel</b> () const</td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_lm_correlation_model.html">LmCorrelationModel</a> > </td><td class="memItemRight" valign="bottom"><b>correlationModel</b> () const</td></tr>
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<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</td></tr>
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<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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virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>integratedCovariance</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> j, <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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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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<tr class="inherit_header pub_methods_class_quant_lib_1_1_lfm_covariance_parameterization"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_lfm_covariance_parameterization')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_lfm_covariance_parameterization.html">LfmCovarianceParameterization</a></td></tr>
<tr class="memitem:a28186f7bbcc9ede01363ab8bf7a70d44 inherit pub_methods_class_quant_lib_1_1_lfm_covariance_parameterization"><td class="memItemLeft" align="right" valign="top"><a id="a28186f7bbcc9ede01363ab8bf7a70d44"></a>
 </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>
<tr class="separator:a28186f7bbcc9ede01363ab8bf7a70d44 inherit pub_methods_class_quant_lib_1_1_lfm_covariance_parameterization"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acce0ab2cacc475b2434f24c65c91685a inherit pub_methods_class_quant_lib_1_1_lfm_covariance_parameterization"><td class="memItemLeft" align="right" valign="top"><a id="acce0ab2cacc475b2434f24c65c91685a"></a>
<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 inherit pub_methods_class_quant_lib_1_1_lfm_covariance_parameterization"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a80d7c2dfc8a2fa937425f38ce5cacd41 inherit pub_methods_class_quant_lib_1_1_lfm_covariance_parameterization"><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>
<tr class="separator:a80d7c2dfc8a2fa937425f38ce5cacd41 inherit pub_methods_class_quant_lib_1_1_lfm_covariance_parameterization"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a83a1dcfb66a38b01916b50673ee9bccc inherit pub_methods_class_quant_lib_1_1_lfm_covariance_parameterization"><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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Protected Attributes</h2></td></tr>
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const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_lm_volatility_model.html">LmVolatilityModel</a> > </td><td class="memItemRight" valign="bottom"><b>volaModel_</b></td></tr>
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const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_lm_correlation_model.html">LmCorrelationModel</a> > </td><td class="memItemRight" valign="bottom"><b>corrModel_</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_lfm_covariance_parameterization"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_lfm_covariance_parameterization')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_lfm_covariance_parameterization.html">LfmCovarianceParameterization</a></td></tr>
<tr class="memitem:a6bc74a91ed4c6cb51d2fa5b1f8cdaf60 inherit pro_attribs_class_quant_lib_1_1_lfm_covariance_parameterization"><td class="memItemLeft" align="right" valign="top"><a id="a6bc74a91ed4c6cb51d2fa5b1f8cdaf60"></a>
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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Friends</h2></td></tr>
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class </td><td class="memItemRight" valign="bottom"><b>Var_Helper</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>proxy for a libor forward model covariance parameterization </p>
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