QuantLib_LiborForwardModel (3) - Linux Manuals

QuantLib_LiborForwardModel: Libor forward model

NAME

QuantLib::LiborForwardModel - Libor forward model

SYNOPSIS

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

Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel.

Public Member Functions

LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel)

Rate S_0 (Size alpha, Size beta) const

virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const

DiscountFactor discount (Time t) const
Implied discount curve.
Real discountBond (Time now, Time maturity, Array factors) const

Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const

void setParams (const Array &params)

Protected Member Functions

Disposable< Array > w_0 (Size alpha, Size beta) const

Protected Attributes

std::vector< Real > f_

std::vector< Time > accrualPeriod_

const boost::shared_ptr< LfmCovarianceProxy > covarProxy_

const boost::shared_ptr< LiborForwardModelProcess > process_

boost::shared_ptr< SwaptionVolatilityMatrix > swaptionVola

Detailed Description

Libor forward model

References:

Stefan Weber, 2005, Efficient Calibration for Libor Market Models, (<http://workshop.mathfinance.de/2005/papers/weber/slides.pdf>)

Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (<http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf>

Tests

the correctness is tested using Monte-Carlo Simulation to reproduce swaption npvs, model calibration and exact cap pricing

Author

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