QuantLib: LfmCovarianceProxy Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

- Main Page
- Related Pages
- Modules
- Classes
- Examples

- Class List
- Class Index
- Class Hierarchy
- Class Members

Public Member Functions | Protected Attributes | Friends | List of all members
LfmCovarianceProxy Class Reference

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

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

Inheritance diagram for LfmCovarianceProxy:
[legend]

## Public Member Functions
| LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)
boost::shared_ptr< LmVolatilityModel > | volatilityModel () const
boost::shared_ptr< LmCorrelationModel > | correlationModel () const
Disposable< Matrix > | diffusion (Time t, const Array &x=Null< Array >()) const
Disposable< Matrix > | covariance (Time t, const Array &x=Null< Array >()) const
virtual Real | integratedCovariance (Size i, Size j, Time t, const Array &x=Null< Array >()) const
Public Member Functions inherited from LfmCovarianceParameterization
| LfmCovarianceParameterization (Size size, Size factors)
Size | size () const
Size | factors () const
virtual Disposable< Matrix > | integratedCovariance (Time t, const Array &x=Null< Array >()) const

## Protected Attributes
const boost::shared_ptr< LmVolatilityModel > | volaModel_
const boost::shared_ptr< LmCorrelationModel > | corrModel_
Protected Attributes inherited from LfmCovarianceParameterization
const Size | size_
const Size | factors_

## Friends
class | Var_Helper

## Detailed Description

proxy for a libor forward model covariance parameterization