generateArguments (3) - Linux Manuals

generateArguments: libor forward correlation model

NAME

QuantLib::LmCorrelationModel - libor forward correlation model

SYNOPSIS

#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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