Class LfmCovarianceParameterization
Hierarchy
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LfmCovarianceParameterization
Constructors
constructor
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Parameters
Properties
Protected _factors
Protected _size
Methods
covariance
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Parameters
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Default value x: Real[] = []
diffusion
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Parameters
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Default value x: Real[] = []
factors
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integratedCovariance1
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Parameters
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Default value x: Real[] = []
size
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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)