24#ifndef quantlib_libor_forward_market_covariance_proxy_hpp
25#define quantlib_libor_forward_market_covariance_proxy_hpp
38 const ext::shared_ptr<LmCorrelationModel>& corrModel);
1-D array used in linear algebra.
Libor market model parameterization
virtual Matrix integratedCovariance(Time t, const Array &x=Null< Array >()) const
proxy for a libor forward model covariance parameterization
Matrix covariance(Time t, const Array &x=Null< Array >()) const override
Matrix diffusion(Time t, const Array &x=Null< Array >()) const override
ext::shared_ptr< LmVolatilityModel > volatilityModel() const
ext::shared_ptr< LmCorrelationModel > correlationModel() const
virtual Real integratedCovariance(Size i, Size j, Time t, const Array &x=Null< Array >()) const
const ext::shared_ptr< LmCorrelationModel > corrModel_
const ext::shared_ptr< LmVolatilityModel > volaModel_
Matrix used in linear algebra.
template class providing a null value for a given type.
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
volatility & correlation function for libor forward model process
correlation model for libor market models
volatility model for libor market models