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"ql/legacy/libormarketmodels/lfmcovarproxy"
LfmCovarianceProxy
Class LfmCovarianceProxy
proxy for a libor forward model covariance parameterization
Hierarchy
LfmCovarianceParameterization
LfmCovarianceProxy
Index
Constructors
constructor
Properties
_corr
Model
_factors
_size
_vola
Model
Methods
correlation
Model
covariance
diffusion
factors
integrated
Covariance1
integrated
Covariance2
size
volatility
Model
Constructors
constructor
new
Lfm
Covariance
Proxy
(
volaModel
:
LmVolatilityModel
, corrModel
:
LmCorrelationModel
)
:
LfmCovarianceProxy
Parameters
volaModel:
LmVolatilityModel
corrModel:
LmCorrelationModel
Returns
LfmCovarianceProxy
Properties
Protected
_corr
Model
_corr
Model
:
LmCorrelationModel
Protected
_factors
_factors
:
Size
Protected
_size
_size
:
Size
Protected
_vola
Model
_vola
Model
:
LmVolatilityModel
Methods
correlation
Model
correlation
Model
(
)
:
LmCorrelationModel
Returns
LmCorrelationModel
covariance
covariance
(
t
:
Time
, x
?:
Real
[]
)
:
Matrix
Parameters
t:
Time
Default value
x:
Real
[]
= []
Returns
Matrix
diffusion
diffusion
(
t
:
Time
, x
?:
Real
[]
)
:
Matrix
Parameters
t:
Time
Default value
x:
Real
[]
= []
Returns
Matrix
factors
factors
(
)
:
Size
Returns
Size
integrated
Covariance1
integrated
Covariance1
(
t
:
Time
, x
?:
Real
[]
)
:
Matrix
Parameters
t:
Time
Default value
x:
Real
[]
= []
Returns
Matrix
integrated
Covariance2
integrated
Covariance2
(
i
:
Size
, j
:
Size
, t
:
Time
, x
?:
Real
[]
)
:
Real
Parameters
i:
Size
j:
Size
t:
Time
Default value
x:
Real
[]
= []
Returns
Real
size
size
(
)
:
Size
Returns
Size
volatility
Model
volatility
Model
(
)
:
LmVolatilityModel
Returns
LmVolatilityModel
Globals
"ql/legacy/libormarketmodels/lfmcovarproxy"
Lfm
Covariance
Proxy
constructor
_corr
Model
_factors
_size
_vola
Model
correlation
Model
covariance
diffusion
factors
integrated
Covariance1
integrated
Covariance2
size
volatility
Model
Var_
Helper
proxy for a libor forward model covariance parameterization