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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005, 2006 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file lfmcovarparam.hpp
\brief volatility & correlation function for libor forward model process
*/
#ifndef quantlib_libor_market_covariance_parameterization_hpp
#define quantlib_libor_market_covariance_parameterization_hpp
#include <ql/math/matrix.hpp>
#include <ql/utilities/null.hpp>
namespace QuantLib {
//! %Libor market model parameterization
/*! Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003,
Different Covariance Parameterizations of the Libor Market Model
and Joint Caps/Swaptions Calibration
(<http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf>)
*/
class LfmCovarianceParameterization {
public:
LfmCovarianceParameterization(Size size, Size factors)
: size_(size), factors_(factors) {}
virtual ~LfmCovarianceParameterization() = default;
Size size() const { return size_; }
Size factors() const { return factors_; }
virtual Matrix diffusion(Time t, const Array& x = {}) const = 0;
virtual Matrix covariance(Time t, const Array& x = {}) const;
virtual Matrix integratedCovariance(Time t, const Array& x = {}) const;
protected:
const Size size_;
const Size factors_;
private:
class Var_Helper;
};
}
#endif
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