lmcorrmodel (3) - Linux Manuals

lmcorrmodel: correlation model for libor market models

NAME

ql/legacy/libormarketmodels/lmcorrmodel.hpp - correlation model for libor market models

SYNOPSIS

#include <ql/math/array.hpp>
#include <ql/math/matrix.hpp>
#include <ql/models/parameter.hpp>
#include <ql/utilities/null.hpp>

Classes

class LmCorrelationModel
libor forward correlation model

Detailed Description

correlation model for libor market models

Author

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