QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
libormarketmodels Directory Reference

Files

file  lfmcovarparam.hpp
 volatility & correlation function for libor forward model process
 
file  lfmcovarproxy.hpp
 proxy for libor forward covariance parameterization
 
file  lfmhullwhiteparam.hpp
 libor market model parameterization based on Hull White
 
file  lfmprocess.hpp
 stochastic process of a libor forward model
 
file  lfmswaptionengine.hpp
 libor forward model swaption engine based on black formula
 
file  liborforwardmodel.hpp
 libor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices.
 
file  lmconstwrappercorrmodel.hpp
 const wrapper for correlation model for libor market models
 
file  lmconstwrappervolmodel.hpp
 const wrapper for a volatility model for libor market models
 
file  lmcorrmodel.hpp
 correlation model for libor market models
 
file  lmexpcorrmodel.hpp
 exponential correlation model for libor market models
 
file  lmextlinexpvolmodel.hpp
 volatility model for libor market models
 
file  lmfixedvolmodel.hpp
 model of constant volatilities for libor market models
 
file  lmlinexpcorrmodel.hpp
 exponential correlation model for libor market models
 
file  lmlinexpvolmodel.hpp
 volatility model for libor market models
 
file  lmvolmodel.hpp
 volatility model for libor market models