Class LmCorrelationModel

libor forward correlation model

Hierarchy

LmCorrelationModel

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new LmCorrelationModel(size: Size, nArguments: Size): LmCorrelationModel

- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:12
Parameters
- size: Size
- nArguments: Size
Returns LmCorrelationModel

Properties

Protected _arguments

_arguments: Parameter[]

Protected _size

_size: Size

Methods

correlation1

correlation1(t: Time, x?: Real[]): Matrix

- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:34
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

correlation2

correlation2(i: Size, j: Size, t: Time, x?: Real[]): Real

- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:43
Parameters
- i: Size
- j: Size
- t: Time
- Default value x: Real[] = []
Returns Real

factors

factors(): Size

- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:21
Returns Size

Protected generateArguments

generateArguments(): void

- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:52
Returns void

isTimeIndependent

isTimeIndependent(): boolean

- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:48
Returns boolean

params

params(): Parameter[]

- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:25
Returns Parameter[]

pseudoSqrt

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

- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:38
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

setParams

setParams(args: Parameter[]): void

- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:29
Parameters
- args: Parameter[]
Returns void

size

size(): Size

- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:18
Returns Size