LmCorrelationModel Class Referenceabstract

libor forward correlation model More...

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

Inheritance diagram for LmCorrelationModel:

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< Matrixcorrelation (Time t, const Array &x=Null< Array >()) const =0
 
virtual Disposable< MatrixpseudoSqrt (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< Parameterarguments_
 

Detailed Description

libor forward correlation model