lfmcovarproxy (3) - Linux Manuals

lfmcovarproxy: proxy for libor forward covariance parameterization

NAME

ql/legacy/libormarketmodels/lfmcovarproxy.hpp - proxy for libor forward covariance parameterization

SYNOPSIS

#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp>
#include <ql/legacy/libormarketmodels/lmvolmodel.hpp>
#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>

Classes

class LfmCovarianceProxy
proxy for a libor forward model covariance parameterization

Detailed Description

proxy for libor forward covariance parameterization

Author

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