LfmHullWhiteParameterization Class Reference

Libor market model parameterization based on Hull White paper More...

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

Inheritance diagram for LfmHullWhiteParameterization:

Public Member Functions
	LfmHullWhiteParameterization (const ext::shared_ptr< LiborForwardModelProcess > &process, const ext::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1)
Matrix	diffusion (Time t, const Array &x={}) const override
Matrix	covariance (Time t, const Array &x={}) const override
Matrix	integratedCovariance (Time t, const Array &x={}) const override
Public Member Functions inherited from LfmCovarianceParameterization
	LfmCovarianceParameterization (Size size, Size factors)
Size	size () const
Size	factors () const

Protected Member Functions
Size	nextIndexReset (Time t) const

Protected Attributes
Matrix	diffusion_
Matrix	covariance_
std::vector< Time >	fixingTimes_
Protected Attributes inherited from LfmCovarianceParameterization
const Size	size_
const Size	factors_

Detailed Description

Libor market model parameterization based on Hull White paper

Hull, John, White, Alan, 1999, Forward Rate Volatilities, Swap Rate Volatilities and the Implementation of the Libor Market Model (http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf)

Tests

the correctness is tested by Monte-Carlo reproduction of caplet & ratchet npvs and comparison with Black pricing.

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()

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

overridevirtual

Reimplemented from LfmCovarianceParameterization.