QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
lfmcovarparam.hpp File Reference

volatility & correlation function for libor forward model process More...

#include <ql/math/matrix.hpp>
#include <ql/utilities/null.hpp>

Go to the source code of this file.

Classes

class  LfmCovarianceParameterization
 Libor market model parameterization More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

volatility & correlation function for libor forward model process

Definition in file lfmcovarparam.hpp.