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Libor market model parameterization

Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003, Different Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration (http://www.exoticderivatives.com/Files/Papers/brigomercuriomorini.pdf)

Hierarchy

Index

Constructors

constructor

Properties

Protected _factors

_factors: Size

Protected _size

_size: Size

Methods

covariance

  • Parameters

    Returns Matrix

diffusion

  • Parameters

    Returns Matrix

factors

  • Returns Size

integratedCovariance1

  • Parameters

    Returns Matrix

size

  • Returns Size