24#ifndef quantlib_libor_market_covariance_parameterization_hpp
25#define quantlib_libor_market_covariance_parameterization_hpp
1-D array used in linear algebra.
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.
template class providing a null value for a given type.
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
matrix used in linear algebra.