QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
LfmHullWhiteParameterization Class Reference

Libor market model parameterization based on Hull White paper More...

#include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp>

+ Inheritance diagram for LfmHullWhiteParameterization:

Public Member Functions

 LfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1)
 
Disposable< Matrixdiffusion (Time t, const Array &x=Null< Array >()) const
 
Disposable< Matrixcovariance (Time t, const Array &x=Null< Array >()) const
 
Disposable< MatrixintegratedCovariance (Time t, const Array &x=Null< Array >()) const
 
- Public Member Functions inherited from LfmCovarianceParameterization
 LfmCovarianceParameterization (Size size, Size factors)
 
Size size () const
 
Size factors () const
 

Protected Member Functions

Size nextIndexReset (Time t) const
 

Protected Attributes

Matrix diffusion_
 
Matrix covariance_
 
std::vector< TimefixingTimes_
 
- Protected Attributes inherited from LfmCovarianceParameterization
const Size size_
 
const Size factors_
 

Detailed Description

Libor market model parameterization based on Hull White paper

Hull, John, White, Alan, 1999, Forward Rate Volatilities, Swap Rate Volatilities and the Implementation of the Libor Market Model (http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf)

Tests:
the correctness is tested by Monte-Carlo reproduction of caplet & ratchet npvs and comparison with Black pricing.