- QuantLib
- LfmCovarianceParameterization
 
Libor market model parameterization More...
#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>

| Public Member Functions | |
| LfmCovarianceParameterization (Size size, Size factors) | |
| Size | size () const | 
| Size | factors () const | 
| virtual Disposable< Matrix > | diffusion (Time t, const Array &x=Null< Array >()) const =0 | 
| virtual Disposable< Matrix > | covariance (Time t, const Array &x=Null< Array >()) const | 
| virtual Disposable< Matrix > | integratedCovariance (Time t, const Array &x=Null< Array >()) const | 
| Protected Attributes | |
| const Size | size_ | 
| const Size | factors_ | 
Libor market model parameterization
Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003, Different Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration (<http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf>)