Libor market model parameterization based on Hull White paper More...
#include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp>
Public Member Functions | |
LfmHullWhiteParameterization (const ext::shared_ptr< LiborForwardModelProcess > &process, const ext::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 |
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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_ |
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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)