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QuantLib_LmCorrelationModel
Langue: en
Version: 163379 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::LmCorrelationModel - libor forward correlation modelSYNOPSIS
#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>
Inherited by LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel.
Public Member Functions
LmCorrelationModel (Size size, Size nArguments)
virtual Size size () const
virtual Size factors () const
std::vector< Parameter > & params ()
void setParams (const std::vector< Parameter > &arguments)
virtual Disposable< Matrix > correlation (Time t, const Array &x=Null< Array >()) const =0
virtual Disposable< Matrix > pseudoSqrt (Time t, const Array &x=Null< Array >()) const
virtual Real correlation (Size i, Size j, Time t, const Array &x=Null< Array >()) const
virtual bool isTimeIndependent () const
Protected Member Functions
virtual void generateArguments ()=0
Protected Attributes
const Size size_
std::vector< Parameter > arguments_
Detailed Description
libor forward correlation model
Author
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