LfmCovarianceParameterization Class Reference

### A free/open-source library for quantitative finance

Public Member Functions | Protected Attributes
LfmCovarianceParameterization Class Reference

Libor market model parameterization More...

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

Inheritance diagram for LfmCovarianceParameterization:
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List of all members.

## Public Member Functions
| LfmCovarianceParameterization (Size size, Size factors)
Size | size () const
Size | factors () const
virtual Disposable< Matrix > | diffusion (Time t, const Array &x=Null< Array >()) const =0
virtual Disposable< Matrix > | covariance (Time t, const Array &x=Null< Array >()) const
virtual Disposable< Matrix > | integratedCovariance (Time t, const Array &x=Null< Array >()) const
## Protected Attributes
const Size | size_
const Size | factors_

## Detailed Description

Libor market model parameterization

Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003, Different Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration (<http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf>)