QuantLib: a free/open-source library for quantitative finance
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lfmcovarproxy.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2005, 2006 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file lfmcovarproxy.hpp
21 \brief proxy for libor forward covariance parameterization
22*/
23
24#ifndef quantlib_libor_forward_market_covariance_proxy_hpp
25#define quantlib_libor_forward_market_covariance_proxy_hpp
26
30
31namespace QuantLib {
32
33 //! proxy for a libor forward model covariance parameterization
34
36 public:
37 LfmCovarianceProxy(ext::shared_ptr<LmVolatilityModel> volaModel,
38 const ext::shared_ptr<LmCorrelationModel>& corrModel);
39
40 ext::shared_ptr<LmVolatilityModel> volatilityModel() const;
41 ext::shared_ptr<LmCorrelationModel> correlationModel() const;
42
43 Matrix diffusion(Time t, const Array& x = Null<Array>()) const override;
44 Matrix covariance(Time t, const Array& x = Null<Array>()) const override;
45
48 Size i, Size j, Time t, const Array& x = Null<Array>()) const;
49
50 protected:
51 const ext::shared_ptr<LmVolatilityModel> volaModel_;
52 const ext::shared_ptr<LmCorrelationModel> corrModel_;
53
54 private:
55 class Var_Helper;
56 };
57
58}
59
60
61#endif
62
1-D array used in linear algebra.
Definition: array.hpp:52
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.
Definition: matrix.hpp:41
template class providing a null value for a given type.
Definition: null.hpp:76
const DefaultType & t
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
volatility & correlation function for libor forward model process
correlation model for libor market models
volatility model for libor market models
Definition: any.hpp:35