QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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proxy for a libor forward model covariance parameterization More...
#include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp>
Public Member Functions | |
LfmCovarianceProxy (ext::shared_ptr< LmVolatilityModel > volaModel, const ext::shared_ptr< LmCorrelationModel > &corrModel) | |
ext::shared_ptr< LmVolatilityModel > | volatilityModel () const |
ext::shared_ptr< LmCorrelationModel > | correlationModel () 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< LmVolatilityModel > | volaModel_ |
const ext::shared_ptr< LmCorrelationModel > | corrModel_ |
Protected Attributes inherited from LfmCovarianceParameterization | |
const Size | size_ |
const Size | factors_ |
proxy for a libor forward model covariance parameterization
Definition at line 35 of file lfmcovarproxy.hpp.
LfmCovarianceProxy | ( | ext::shared_ptr< LmVolatilityModel > | volaModel, |
const ext::shared_ptr< LmCorrelationModel > & | corrModel | ||
) |
Definition at line 25 of file lfmcovarproxy.cpp.
ext::shared_ptr< LmVolatilityModel > volatilityModel | ( | ) | const |
Definition at line 38 of file lfmcovarproxy.cpp.
ext::shared_ptr< LmCorrelationModel > correlationModel | ( | ) | const |
Definition at line 43 of file lfmcovarproxy.cpp.
Implements LfmCovarianceParameterization.
Definition at line 47 of file lfmcovarproxy.cpp.
Reimplemented from LfmCovarianceParameterization.
Definition at line 60 of file lfmcovarproxy.cpp.
Reimplemented from LfmCovarianceParameterization.
Definition at line 50 of file lfmcovarparam.cpp.
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protected |
Definition at line 51 of file lfmcovarproxy.hpp.
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protected |
Definition at line 52 of file lfmcovarproxy.hpp.