QuantLib::LfmCovarianceProxy

LfmCovarianceProxy Class Reference

#include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp>

Inheritance diagram for LfmCovarianceProxy:

Inheritance graph

List of all members.

Detailed Description

proxy for a libor forward model covariance parameterization


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