QuantLib: a free/open-source library for quantitative finance
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lmcorrmodel.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2005, 2006 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file lmcorrmodel.hpp
21 \brief correlation model for libor market models
22*/
23
24#ifndef quantlib_libor_forward_correlation_model_hpp
25#define quantlib_libor_forward_correlation_model_hpp
26
27#include <ql/math/array.hpp>
28#include <ql/math/matrix.hpp>
30#include <ql/utilities/null.hpp>
31
32namespace QuantLib {
33
34 //! %libor forward correlation model
36 public:
37 LmCorrelationModel(Size size, Size nArguments);
38 virtual ~LmCorrelationModel() = default;
39
40 virtual Size size() const;
41 virtual Size factors() const;
42
43 std::vector<Parameter>& params();
44 void setParams(const std::vector<Parameter> & arguments);
45
46 virtual Matrix correlation(Time t, const Array& x = Null<Array>()) const = 0;
47 virtual Matrix pseudoSqrt(Time t, const Array& x = Null<Array>()) const;
48 virtual Real correlation(Size i, Size j, Time t, const Array& x = Null<Array>()) const;
49 virtual bool isTimeIndependent() const;
50
51 protected:
52 virtual void generateArguments() = 0;
53
54 const Size size_;
55
56 std::vector<Parameter> arguments_;
57 };
58
59}
60
61
62#endif
63
1-D array used in linear algebra.
1-D array used in linear algebra.
Definition: array.hpp:52
libor forward correlation model
Definition: lmcorrmodel.hpp:35
virtual bool isTimeIndependent() const
Definition: lmcorrmodel.cpp:36
void setParams(const std::vector< Parameter > &arguments)
Definition: lmcorrmodel.cpp:57
virtual Matrix correlation(Time t, const Array &x=Null< Array >()) const =0
std::vector< Parameter > & params()
Definition: lmcorrmodel.cpp:53
virtual ~LmCorrelationModel()=default
virtual Size factors() const
Definition: lmcorrmodel.cpp:32
virtual void generateArguments()=0
std::vector< Parameter > arguments_
Definition: lmcorrmodel.hpp:56
virtual Matrix pseudoSqrt(Time t, const Array &x=Null< Array >()) const
Definition: lmcorrmodel.cpp:40
virtual Size size() const
Definition: lmcorrmodel.cpp:28
Matrix used in linear algebra.
Definition: matrix.hpp:41
template class providing a null value for a given type.
Definition: null.hpp:76
const DefaultType & t
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
matrix used in linear algebra.
Definition: any.hpp:35
null values
Model parameter classes.