LfmCovarianceParameterization Class Reference

Libor market model parameterization More...

#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>

Inheritance diagram for LfmCovarianceParameterization:

Public Member Functions
	LfmCovarianceParameterization (Size size, Size factors)
Size	size () const
Size	factors () const
virtual Matrix	diffusion (Time t, const Array &x={}) const =0
virtual Matrix	covariance (Time t, const Array &x={}) const
virtual Matrix	integratedCovariance (Time t, const Array &x={}) 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)