LfmHullWhiteParameterization Class Reference

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

Public Member Functions | Protected Member Functions | Protected Attributes
LfmHullWhiteParameterization Class Reference

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

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

Inheritance diagram for LfmHullWhiteParameterization:
[legend]

List of all members.

## Public Member Functions
| LfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1)
Disposable< Matrix > | diffusion (Time t, const Array &x=Null< Array >()) const
Disposable< Matrix > | covariance (Time t, const Array &x=Null< Array >()) const
Disposable< Matrix > | integratedCovariance (Time t, const Array &x=Null< Array >()) const
## Protected Member Functions
Size | nextIndexReset (Time t) const
## Protected Attributes
Matrix | diffusion_
Matrix | covariance_
std::vector< Time > | fixingTimes_

## 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.