Class LfmCovarianceParameterization

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

LfmCovarianceParameterization
- LfmCovarianceProxy
- LfmHullWhiteParameterization

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new LfmCovarianceParameterization(size: Size, factors: Size): LfmCovarianceParameterization

- Defined in ql/legacy/libormarketmodels/lfmcovarparam.ts:20
Parameters
- size: Size
- factors: Size
Returns LfmCovarianceParameterization

Properties

Protected _factors

_factors: Size

Protected _size

_size: Size

Methods

covariance

covariance(t: Time, x?: Real[]): Matrix

- Defined in ql/legacy/libormarketmodels/lfmcovarparam.ts:37
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

diffusion

diffusion(t: Time, x?: Real[]): Matrix

- Defined in ql/legacy/libormarketmodels/lfmcovarparam.ts:33
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

factors

factors(): Size

- Defined in ql/legacy/libormarketmodels/lfmcovarparam.ts:29
Returns Size

integratedCovariance1

integratedCovariance1(t: Time, x?: Real[]): Matrix

- Defined in ql/legacy/libormarketmodels/lfmcovarparam.ts:43
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

size

size(): Size

- Defined in ql/legacy/libormarketmodels/lfmcovarparam.ts:26
Returns Size