QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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proxy for libor forward covariance parameterization More...
#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>
#include <ql/legacy/libormarketmodels/lmvolmodel.hpp>
#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>
Go to the source code of this file.
Classes | |
class | LfmCovarianceProxy |
proxy for a libor forward model covariance parameterization More... | |
Namespaces | |
namespace | QuantLib |
proxy for libor forward covariance parameterization
Definition in file lfmcovarproxy.hpp.