QuantLib: a free/open-source library for quantitative finance
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lfmcovarparam.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 lfmcovarparam.hpp
21 \brief volatility & correlation function for libor forward model process
22*/
23
24#ifndef quantlib_libor_market_covariance_parameterization_hpp
25#define quantlib_libor_market_covariance_parameterization_hpp
26
27#include <ql/math/matrix.hpp>
28#include <ql/utilities/null.hpp>
29
30namespace QuantLib {
31
32 //! %Libor market model parameterization
33 /*! Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003,
34 Different Covariance Parameterizations of the Libor Market Model
35 and Joint Caps/Swaptions Calibration
36 (<http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf>)
37 */
38
40 public:
43 virtual ~LfmCovarianceParameterization() = default;
44
45 Size size() const { return size_; }
46 Size factors() const { return factors_; }
47
48 virtual Matrix diffusion(Time t, const Array& x = Null<Array>()) const = 0;
49 virtual Matrix covariance(Time t, const Array& x = Null<Array>()) const;
50 virtual Matrix integratedCovariance(Time t, const Array& x = Null<Array>()) const;
51
52 protected:
53 const Size size_;
55
56 private:
57 class Var_Helper;
58 };
59
60}
61
62
63#endif
64
1-D array used in linear algebra.
Definition: array.hpp:52
Libor market model parameterization
LfmCovarianceParameterization(Size size, Size factors)
virtual Matrix integratedCovariance(Time t, const Array &x=Null< Array >()) const
virtual ~LfmCovarianceParameterization()=default
virtual Matrix diffusion(Time t, const Array &x=Null< Array >()) const =0
virtual Matrix covariance(Time t, const Array &x=Null< Array >()) const
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
std::size_t Size
size of a container
Definition: types.hpp:58
matrix used in linear algebra.
Definition: any.hpp:35
null values