QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
lfmcovarproxy.hpp File Reference

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>

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Classes

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

Namespaces

namespace  QuantLib
 

Detailed Description

proxy for libor forward covariance parameterization

Definition in file lfmcovarproxy.hpp.