- QuantLib
- LfmCovarianceProxy
 
proxy for a libor forward model covariance parameterization More...
#include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp>

| 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 | 
| Protected Attributes | |
| const boost::shared_ptr < LmVolatilityModel > | volaModel_ | 
| const boost::shared_ptr < LmCorrelationModel > | corrModel_ | 
| Friends | |
| class | Var_Helper | 
proxy for a libor forward model covariance parameterization