QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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libor forward correlation model More...
#include <lmcorrmodel.hpp>
Public Member Functions | |
LmCorrelationModel (Size size, Size nArguments) | |
virtual | ~LmCorrelationModel ()=default |
virtual Size | size () const |
virtual Size | factors () const |
std::vector< Parameter > & | params () |
void | setParams (const std::vector< Parameter > &arguments) |
virtual Matrix | correlation (Time t, const Array &x=Null< Array >()) const =0 |
virtual Matrix | pseudoSqrt (Time t, const Array &x=Null< Array >()) const |
virtual Real | correlation (Size i, Size j, Time t, const Array &x=Null< Array >()) const |
virtual bool | isTimeIndependent () const |
Protected Member Functions | |
virtual void | generateArguments ()=0 |
Protected Attributes | |
const Size | size_ |
std::vector< Parameter > | arguments_ |
libor forward correlation model
Definition at line 35 of file lmcorrmodel.hpp.
LmCorrelationModel | ( | Size | size, |
Size | nArguments | ||
) |
Definition at line 25 of file lmcorrmodel.cpp.
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virtualdefault |
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virtual |
Definition at line 28 of file lmcorrmodel.cpp.
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virtual |
Reimplemented in LmConstWrapperCorrelationModel, and LmLinearExponentialCorrelationModel.
Definition at line 32 of file lmcorrmodel.cpp.
std::vector< Parameter > & params | ( | ) |
Definition at line 53 of file lmcorrmodel.cpp.
void setParams | ( | const std::vector< Parameter > & | arguments | ) |
Implemented in LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel.
Reimplemented in LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel.
Definition at line 40 of file lmcorrmodel.cpp.
Reimplemented in LmExponentialCorrelationModel, LmLinearExponentialCorrelationModel, and LmConstWrapperCorrelationModel.
Definition at line 46 of file lmcorrmodel.cpp.
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virtual |
Reimplemented in LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel.
Definition at line 36 of file lmcorrmodel.cpp.
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protectedpure virtual |
Implemented in LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel.
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protected |
Definition at line 54 of file lmcorrmodel.hpp.
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protected |
Definition at line 56 of file lmcorrmodel.hpp.