QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Protected Attributes | List of all members
LfmCovarianceProxy Class Reference

proxy for a libor forward model covariance parameterization More...

#include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp>

+ Inheritance diagram for LfmCovarianceProxy:
+ Collaboration diagram for LfmCovarianceProxy:

Public Member Functions

 LfmCovarianceProxy (ext::shared_ptr< LmVolatilityModel > volaModel, const ext::shared_ptr< LmCorrelationModel > &corrModel)
 
ext::shared_ptr< LmVolatilityModelvolatilityModel () const
 
ext::shared_ptr< LmCorrelationModelcorrelationModel () const
 
Matrix diffusion (Time t, const Array &x=Null< Array >()) const override
 
Matrix covariance (Time t, const Array &x=Null< Array >()) const override
 
virtual Real integratedCovariance (Size i, Size j, Time t, const Array &x=Null< Array >()) const
 
virtual Matrix integratedCovariance (Time t, const Array &x=Null< Array >()) const
 
- Public Member Functions inherited from LfmCovarianceParameterization
 LfmCovarianceParameterization (Size size, Size factors)
 
virtual ~LfmCovarianceParameterization ()=default
 
Size size () const
 
Size factors () const
 
virtual Matrix diffusion (Time t, const Array &x=Null< Array >()) const =0
 
virtual Matrix covariance (Time t, const Array &x=Null< Array >()) const
 
virtual Matrix integratedCovariance (Time t, const Array &x=Null< Array >()) const
 

Protected Attributes

const ext::shared_ptr< LmVolatilityModelvolaModel_
 
const ext::shared_ptr< LmCorrelationModelcorrModel_
 
- Protected Attributes inherited from LfmCovarianceParameterization
const Size size_
 
const Size factors_
 

Detailed Description

proxy for a libor forward model covariance parameterization

Definition at line 35 of file lfmcovarproxy.hpp.

Constructor & Destructor Documentation

◆ LfmCovarianceProxy()

LfmCovarianceProxy ( ext::shared_ptr< LmVolatilityModel volaModel,
const ext::shared_ptr< LmCorrelationModel > &  corrModel 
)

Definition at line 25 of file lfmcovarproxy.cpp.

Member Function Documentation

◆ volatilityModel()

ext::shared_ptr< LmVolatilityModel > volatilityModel ( ) const

Definition at line 38 of file lfmcovarproxy.cpp.

◆ correlationModel()

ext::shared_ptr< LmCorrelationModel > correlationModel ( ) const

Definition at line 43 of file lfmcovarproxy.cpp.

◆ diffusion()

Matrix diffusion ( Time  t,
const Array x = Null<Array>() 
) const
overridevirtual

Implements LfmCovarianceParameterization.

Definition at line 47 of file lfmcovarproxy.cpp.

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◆ covariance()

Matrix covariance ( Time  t,
const Array x = Null<Array>() 
) const
overridevirtual

Reimplemented from LfmCovarianceParameterization.

Definition at line 60 of file lfmcovarproxy.cpp.

◆ integratedCovariance() [1/2]

Real integratedCovariance ( Size  i,
Size  j,
Time  t,
const Array x = Null<Array>() 
) const
virtual

Definition at line 107 of file lfmcovarproxy.cpp.

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◆ integratedCovariance() [2/2]

Matrix integratedCovariance ( Time  t,
const Array x = Null<Array>() 
) const
virtual

Reimplemented from LfmCovarianceParameterization.

Definition at line 50 of file lfmcovarparam.cpp.

Member Data Documentation

◆ volaModel_

const ext::shared_ptr<LmVolatilityModel> volaModel_
protected

Definition at line 51 of file lfmcovarproxy.hpp.

◆ corrModel_

const ext::shared_ptr<LmCorrelationModel> corrModel_
protected

Definition at line 52 of file lfmcovarproxy.hpp.