Libor market model parameterization based on Hull White paper More...
#include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp>
Inheritance diagram for LfmHullWhiteParameterization: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 |
Public Member Functions inherited from LfmCovarianceParameterization | |
| LfmCovarianceParameterization (Size size, Size factors) | |
| Size | size () const |
| Size | factors () const |
Protected Member Functions | |
| Size | nextIndexReset (Time t) const |
Protected Attributes | |
| Matrix | diffusion_ |
| Matrix | covariance_ |
| std::vector< Time > | fixingTimes_ |
Protected Attributes inherited from LfmCovarianceParameterization | |
| const Size | size_ |
| const Size | factors_ |
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)