QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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lmcorrmodel.cpp
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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
22
23namespace QuantLib {
24
26 : size_(size), arguments_(nArguments) {}
27
29 return size_;
30 }
31
33 return size_;
34 }
35
37 return false;
38 }
39
41 Time t, const Array& x) const {
42 return QuantLib::pseudoSqrt(this->correlation(t, x),
44 }
45
47 Size i, Size j, Time t, const Array& x) const {
48 // inefficient implementation, please overload in derived classes
49 return correlation(t, x)[i][j];
50 }
51
52
53 std::vector<Parameter>& LmCorrelationModel::params() {
54 return arguments_;
55 }
56
58 const std::vector<Parameter> & arguments) {
59 arguments_ = arguments;
61 }
62
63}
64
1-D array used in linear algebra.
Definition: array.hpp:52
LmCorrelationModel(Size size, Size nArguments)
Definition: lmcorrmodel.cpp:25
virtual bool isTimeIndependent() const
Definition: lmcorrmodel.cpp:36
void setParams(const std::vector< Parameter > &arguments)
Definition: lmcorrmodel.cpp:57
virtual Matrix correlation(Time t, const Array &x=Null< Array >()) const =0
std::vector< Parameter > & params()
Definition: lmcorrmodel.cpp:53
virtual Size factors() const
Definition: lmcorrmodel.cpp:32
virtual void generateArguments()=0
std::vector< Parameter > arguments_
Definition: lmcorrmodel.hpp:56
virtual Matrix pseudoSqrt(Time t, const Array &x=Null< Array >()) const
Definition: lmcorrmodel.cpp:40
virtual Size size() const
Definition: lmcorrmodel.cpp:28
Matrix used in linear algebra.
Definition: matrix.hpp:41
const DefaultType & t
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
correlation model for libor market models
Definition: any.hpp:35
Matrix pseudoSqrt(const Matrix &matrix, SalvagingAlgorithm::Type sa)
Definition: pseudosqrt.cpp:347
Size size_
Definition: pseudosqrt.cpp:76
pseudo square root of a real symmetric matrix