QuantLib: LfmCovarianceProxy Class Reference

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

#include <lfmcovarproxy.hpp>

Inheritance diagram for LfmCovarianceProxy:

Collaboration 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)

virtual	~LfmCovarianceParameterization ()=default

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 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

Definition at line 35 of file lfmcovarproxy.hpp.

Constructor & Destructor Documentation

◆ LfmCovarianceProxy()

LfmCovarianceProxy	(	ext::shared_ptr< LmVolatilityModel >	volaModel,
		const ext::shared_ptr< LmCorrelationModel > &	corrModel
	)

Definition at line 25 of file lfmcovarproxy.cpp.

Member Function Documentation

◆ volatilityModel()

ext::shared_ptr< LmVolatilityModel > volatilityModel ( ) const

Definition at line 38 of file lfmcovarproxy.cpp.

◆ correlationModel()

ext::shared_ptr< LmCorrelationModel > correlationModel ( ) const

Definition at line 43 of file lfmcovarproxy.cpp.

◆ diffusion()

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

overridevirtual

Implements LfmCovarianceParameterization.

Definition at line 47 of file lfmcovarproxy.cpp.

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◆ covariance()

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

overridevirtual

Reimplemented from LfmCovarianceParameterization.

Definition at line 60 of file lfmcovarproxy.cpp.

◆ integratedCovariance() [1/2]

Real integratedCovariance	(	Size	i,
		Size	j,
		Time	t,
		const Array &	x = `{}`
	)		const

virtual

Definition at line 107 of file lfmcovarproxy.cpp.

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◆ integratedCovariance() [2/2]

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

virtual

Reimplemented from LfmCovarianceParameterization.

Definition at line 50 of file lfmcovarparam.cpp.

Member Data Documentation

◆ volaModel_

const ext::shared_ptr<LmVolatilityModel> volaModel_

protected

Definition at line 50 of file lfmcovarproxy.hpp.

◆ corrModel_

const ext::shared_ptr<LmCorrelationModel> corrModel_