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fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
LmCorrelationModel Class Referenceabstract

libor forward correlation model More...

#include <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< Parameterarguments_
 

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 = NullArray >() 
) 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

◆ 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.