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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 lfmcovarproxy.hpp
\brief proxy for libor forward covariance parameterization
*/
#ifndef quantlib_libor_forward_market_covariance_proxy_hpp
#define quantlib_libor_forward_market_covariance_proxy_hpp
#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>
#include <ql/legacy/libormarketmodels/lmvolmodel.hpp>
#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>
namespace QuantLib {
//! proxy for a libor forward model covariance parameterization
class LfmCovarianceProxy : public LfmCovarianceParameterization {
public:
LfmCovarianceProxy(ext::shared_ptr<LmVolatilityModel> volaModel,
const ext::shared_ptr<LmCorrelationModel>& corrModel);
ext::shared_ptr<LmVolatilityModel> volatilityModel() const;
ext::shared_ptr<LmCorrelationModel> correlationModel() const;
Matrix diffusion(Time t, const Array& x = {}) const override;
Matrix covariance(Time t, const Array& x = {}) const override;
using LfmCovarianceParameterization::integratedCovariance;
virtual Real integratedCovariance(Size i, Size j, Time t, const Array& x = {}) const;
protected:
const ext::shared_ptr<LmVolatilityModel> volaModel_;
const ext::shared_ptr<LmCorrelationModel> corrModel_;
private:
class Var_Helper;
};
}
#endif
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