QuantLib: ql/legacy/libormarketmodels Directory Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

libormarketmodels Directory Reference

## Files
file | lfmcovarparam.hpp
| volatility & correlation function for libor forward model process
file | lfmcovarproxy.hpp
| proxy for libor forward covariance parameterization
file | lfmhullwhiteparam.hpp
| libor market model parameterization based on Hull White
file | lfmprocess.hpp
| stochastic process of a libor forward model
file | lfmswaptionengine.hpp
| libor forward model swaption engine based on black formula
file | liborforwardmodel.hpp
| libor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices.
file | lmconstwrappercorrmodel.hpp
| const wrapper for correlation model for libor market models
file | lmconstwrappervolmodel.hpp
| const wrapper for a volatility model for libor market models
file | lmcorrmodel.hpp
| correlation model for libor market models
file | lmexpcorrmodel.hpp
| exponential correlation model for libor market models
file | lmextlinexpvolmodel.hpp
| volatility model for libor market models
file | lmfixedvolmodel.hpp
| model of constant volatilities for libor market models
file | lmlinexpcorrmodel.hpp
| exponential correlation model for libor market models
file | lmlinexpvolmodel.hpp
| volatility model for libor market models
file | lmvolmodel.hpp
| volatility model for libor market models