QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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correlation model for libor market models More...
#include <ql/math/array.hpp>
#include <ql/math/matrix.hpp>
#include <ql/models/parameter.hpp>
#include <ql/utilities/null.hpp>
Go to the source code of this file.
Classes | |
class | LmCorrelationModel |
libor forward correlation model More... | |
Namespaces | |
namespace | QuantLib |
correlation model for libor market models
Definition in file lmcorrmodel.hpp.