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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_hull_white_parameterization.html">LfmHullWhiteParameterization</a></li> </ul>
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<p>Libor market model parameterization based on Hull White paper
<a href="class_quant_lib_1_1_lfm_hull_white_parameterization.html#details">More...</a></p>
<p><code>#include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for LfmHullWhiteParameterization:</div>
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>LfmHullWhiteParameterization</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_libor_forward_model_process.html">LiborForwardModelProcess</a> > &process, const ext::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#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> factors=1)</td></tr>
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<tr class="memitem:a8276f92bbf8404e6a314f370ac6c360a"><td class="memItemLeft" align="right" valign="top"><a id="a8276f92bbf8404e6a314f370ac6c360a"></a>
<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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<tr class="memitem:a4979bb8ad104746a3b8f0192ec941f57"><td class="memItemLeft" align="right" valign="top"><a id="a4979bb8ad104746a3b8f0192ec941f57"></a>
<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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<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>
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<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>
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Protected Member Functions</h2></td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>nextIndexReset</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
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Protected Attributes</h2></td></tr>
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<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> </td><td class="memItemRight" valign="bottom"><b>diffusion_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> </td><td class="memItemRight" valign="bottom"><b>covariance_</b></td></tr>
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std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><b>fixingTimes_</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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<tr class="memitem:a19357300f903f9594909f2aa2c729ac5 inherit pro_attribs_class_quant_lib_1_1_lfm_covariance_parameterization"><td class="memItemLeft" align="right" valign="top"><a id="a19357300f903f9594909f2aa2c729ac5"></a>
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 based on Hull White paper </p>
<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 ICE LIBOR indexes but the EUR, O/N, and S/N 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 class="test"><dt><b><a class="el" href="test.html#_test000031">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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