org.jquantlib.legacy.libormarkets

Class LfmCovarianceProxy

java.lang.Object

org.jquantlib.processes.LfmCovarianceParameterization

org.jquantlib.legacy.libormarkets.LfmCovarianceProxy

public class LfmCovarianceProxy
extends LfmCovarianceParameterization

Constructor Summary

Constructors

Constructor and Description
LfmCovarianceProxy(LmVolatilityModel volaModel, LmCorrelationModel corrModel)

Method Summary

Modifier and Type	Method and Description
LmCorrelationModel	correlationModel()
Matrix	covariance(double t, Array x)
Matrix	diffusion(double t, Array x)
double	integratedCovariance(int i, int j, double t, Array x)
LmVolatilityModel	volatilityModel()

Methods inherited from class org.jquantlib.processes.LfmCovarianceParameterization

covariance, diffusion, factors, integratedCovariance, integratedCovariance, size

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

LfmCovarianceProxy

public LfmCovarianceProxy(LmVolatilityModel volaModel,
                          LmCorrelationModel corrModel)

Method Detail

volatilityModel

public LmVolatilityModel volatilityModel()

correlationModel

public LmCorrelationModel correlationModel()

diffusion

public Matrix diffusion(double t,
                        Array x)

Specified by:

diffusion in class LfmCovarianceParameterization

covariance

public Matrix covariance(double t,
                         Array x)

Overrides:

covariance in class LfmCovarianceParameterization

integratedCovariance

public double integratedCovariance(int i,
                                   int j,
                                   double t,
                                   Array x)