proxy for a libor forward model covariance parameterization More...
#include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp>
Inheritance diagram for LfmCovarianceProxy: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 |
| virtual Disposable< Matrix > | integratedCovariance (Time t, const Array &x=Null< Array >()) const |
Public Member Functions inherited from LfmCovarianceParameterization | |
| LfmCovarianceParameterization (Size size, Size factors) | |
| Size | size () const |
| Size | factors () const |
| virtual Disposable< Matrix > | integratedCovariance (Time t, const Array &x=Null< Array >()) const |
Protected Attributes | |
| const boost::shared_ptr< LmVolatilityModel > | volaModel_ |
| const boost::shared_ptr< LmCorrelationModel > | corrModel_ |
Protected Attributes inherited from LfmCovarianceParameterization | |
| const Size | size_ |
| const Size | factors_ |
Friends | |
| class | Var_Helper |
proxy for a libor forward model covariance parameterization