QuantLib: LmCorrelationModel Class Reference

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

Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
LmCorrelationModel Class Referenceabstract

libor forward correlation model More...

`#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>`

Inheritance diagram for LmCorrelationModel:
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## Public Member Functions
| LmCorrelationModel (Size size, Size nArguments)
virtual Size | size () const
virtual Size | factors () const
std::vector< Parameter > & | params ()
void | setParams (const std::vector< Parameter > &arguments)
virtual Disposable< Matrix > | correlation (Time t, const Array &x=Null< Array >()) const =0
virtual Disposable< Matrix > | pseudoSqrt (Time t, const Array &x=Null< Array >()) const
virtual Real | correlation (Size i, Size j, Time t, const Array &x=Null< Array >()) const
virtual bool | isTimeIndependent () const

## Protected Member Functions
virtual void | generateArguments ()=0

## Protected Attributes
const Size | size_
std::vector< Parameter > | arguments_

## Detailed Description

libor forward correlation model