Libor market model parameterization More...

#include <lfmcovarparam.hpp>

Inheritance diagram for LfmCovarianceParameterization:

Collaboration diagram for LfmCovarianceParameterization:

Public Member Functions
	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 Size	size_

const Size	factors_

Detailed Description

Libor market model parameterization

Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003, Different Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration (http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf)

Definition at line 39 of file lfmcovarparam.hpp.

Constructor & Destructor Documentation

◆ LfmCovarianceParameterization()

LfmCovarianceParameterization	(	Size	size,
		Size	factors
	)

Definition at line 41 of file lfmcovarparam.hpp.

◆ ~LfmCovarianceParameterization()

virtual ~LfmCovarianceParameterization ( )

virtualdefault

Member Function Documentation

◆ size()

Size size ( ) const

Definition at line 45 of file lfmcovarparam.hpp.

◆ factors()

Size factors ( ) const

Definition at line 46 of file lfmcovarparam.hpp.

◆ diffusion()

virtual Matrix diffusion	(	Time	t,
		const Array &	x = `Null< Array >()`
	)		const

pure virtual

Implemented in LfmCovarianceProxy, and LfmHullWhiteParameterization.

◆ covariance()

Matrix covariance	(	Time	t,
		const Array &	x = `Null<Array>()`
	)		const

virtual

Reimplemented in LfmCovarianceProxy, and LfmHullWhiteParameterization.

Definition at line 47 of file lfmcovarparam.cpp.

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◆ integratedCovariance()

Matrix integratedCovariance	(	Time	t,
		const Array &	x = `Null<Array>()`
	)		const

virtual

Reimplemented in LfmCovarianceProxy, and LfmHullWhiteParameterization.

Definition at line 53 of file lfmcovarparam.cpp.

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Member Data Documentation

◆ size_

const Size size_

protected

Definition at line 53 of file lfmcovarparam.hpp.

◆ factors_

const Size factors_