LmCorrelationModel Class Reference

libor forward correlation model More...

#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>

Inheritance diagram for LmCorrelationModel:

Collaboration diagram for LmCorrelationModel:

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_

Detailed Description

libor forward correlation model

Definition at line 35 of file lmcorrmodel.hpp.

Constructor & Destructor Documentation

LmCorrelationModel()

LmCorrelationModel	(	Size	size,
		Size	nArguments
	)

Definition at line 25 of file lmcorrmodel.cpp.

~LmCorrelationModel()

virtual ~LmCorrelationModel ( )

virtualdefault

Member Function Documentation

size()

Size size ( ) const

virtual

Definition at line 28 of file lmcorrmodel.cpp.

factors()

Size factors ( ) const

virtual

Reimplemented in LmConstWrapperCorrelationModel, and LmLinearExponentialCorrelationModel.

Definition at line 32 of file lmcorrmodel.cpp.

params()

std::vector< Parameter > & params

(

)

Definition at line 53 of file lmcorrmodel.cpp.

setParams()

void setParams

(

const std::vector< Parameter > &

arguments

)

Definition at line 57 of file lmcorrmodel.cpp.

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correlation() [1/2]

virtual Matrix correlation ( Time  t, const Array &  x = Null< Array >()  ) const

pure virtual

Implemented in LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel.

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pseudoSqrt()

Matrix pseudoSqrt ( Time  t, const Array &  x = Null<Array>()  ) const

virtual

Reimplemented in LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel.

Definition at line 40 of file lmcorrmodel.cpp.

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correlation() [2/2]

Real correlation ( Size  i, Size  j, Time  t, const Array &  x = Null<Array>()  ) const

virtual

Reimplemented in LmExponentialCorrelationModel, LmLinearExponentialCorrelationModel, and LmConstWrapperCorrelationModel.

Definition at line 46 of file lmcorrmodel.cpp.

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isTimeIndependent()

bool isTimeIndependent ( ) const

virtual

Reimplemented in LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel.

Definition at line 36 of file lmcorrmodel.cpp.

generateArguments()

virtual void generateArguments ( )

protectedpure virtual

Implemented in LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel.

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Member Data Documentation

size_

const Size size_

protected

Definition at line 54 of file lmcorrmodel.hpp.

arguments_

std::vector<Parameter> arguments_

protected

Definition at line 56 of file lmcorrmodel.hpp.