- QuantLib
- LiborForwardModelProcess
 
libor-forward-model process More...
#include <ql/legacy/libormarketmodels/lfmprocess.hpp>

| Public Member Functions | |
| LiborForwardModelProcess (Size size, const boost::shared_ptr< IborIndex > &index) | |
| Disposable< Array > | initialValues () const | 
| returns the initial values of the state variables | |
| Disposable< Array > | drift (Time t, const Array &x) const | 
| returns the drift part of the equation, i.e.,   | |
| Disposable< Matrix > | diffusion (Time t, const Array &x) const | 
| returns the diffusion part of the equation, i.e.   | |
| Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const | 
| Disposable< Array > | apply (const Array &x0, const Array &dx) const | 
| Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const | 
| Size | size () const | 
| returns the number of dimensions of the stochastic process | |
| Size | factors () const | 
| returns the number of independent factors of the process | |
| boost::shared_ptr< IborIndex > | index () const | 
| Leg | cashFlows (Real amount=1.0) const | 
| void | setCovarParam (const boost::shared_ptr< LfmCovarianceParameterization > ¶m) | 
| boost::shared_ptr < LfmCovarianceParameterization > | covarParam () const | 
| Size | nextIndexReset (Time t) const | 
| const std::vector< Time > & | fixingTimes () const | 
| const std::vector< Date > & | fixingDates () const | 
| const std::vector< Time > & | accrualStartTimes () const | 
| const std::vector< Time > & | accrualEndTimes () const | 
| std::vector< DiscountFactor > | discountBond (const std::vector< Rate > &rates) const | 
libor-forward-model process
stochastic process of a libor forward model using the rolling forward measure incl. predictor-corrector step
References:
Glasserman, Paul, 2004, Monte Carlo Methods in Financial Engineering, Springer, Section 3.7
Antoon Pelsser, 2000, Efficient Methods for Valuing Interest Rate Derivatives, Springer, 8
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>)
| Disposable<Matrix> covariance | ( | Time | t0, | 
| const Array & | x0, | ||
| Time | dt | ||
| ) | const  [virtual] | 
returns the covariance  of the process after a time interval
 of the process after a time interval  according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
 according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization. 
Reimplemented from StochasticProcess.
| Disposable<Array> apply | ( | const Array & | x0, | 
| const Array & | dx | ||
| ) | const  [virtual] | 
applies a change to the asset value. By default, it returns  .
. 
Reimplemented from StochasticProcess.
returns the asset value after a time interval  according to the given discretization. By default, it returns
 according to the given discretization. By default, it returns 
![\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]](form_357.png) 
 where  is the expectation and
 is the expectation and  the standard deviation.
 the standard deviation. 
Reimplemented from StochasticProcess.