- QuantLib
- LmCorrelationModel
 
libor forward correlation model More...
#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>

| 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_ | 
libor forward correlation model