LfmCovarianceProxy Class Reference

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

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

Inheritance diagram for LfmCovarianceProxy:

Public Member Functions
	LfmCovarianceProxy (ext::shared_ptr< LmVolatilityModel > volaModel, const ext::shared_ptr< LmCorrelationModel > &corrModel)
ext::shared_ptr< LmVolatilityModel >	volatilityModel () const
ext::shared_ptr< LmCorrelationModel >	correlationModel () const
Matrix	diffusion (Time t, const Array &x={}) const override
Matrix	covariance (Time t, const Array &x={}) const override
virtual Real	integratedCovariance (Size i, Size j, Time t, const Array &x={}) const
virtual Matrix	integratedCovariance (Time t, const Array &x={}) const
Public Member Functions inherited from LfmCovarianceParameterization
	LfmCovarianceParameterization (Size size, Size factors)
Size	size () const
Size	factors () const

Protected Attributes
const ext::shared_ptr< LmVolatilityModel >	volaModel_
const ext::shared_ptr< LmCorrelationModel >	corrModel_
Protected Attributes inherited from LfmCovarianceParameterization
const Size	size_
const Size	factors_

Detailed Description

proxy for a libor forward model covariance parameterization

Member Function Documentation

diffusion()

Matrix diffusion ( Time t, const Array & x = {} ) const

overridevirtual

Implements LfmCovarianceParameterization.

covariance()

Matrix covariance ( Time t, const Array & x = {} ) const

overridevirtual

Reimplemented from LfmCovarianceParameterization.

integratedCovariance()

virtual Matrix integratedCovariance ( Time t, const Array & x = {} ) const

virtual

Reimplemented from LfmCovarianceParameterization.