ql/legacy/libormarketmodels/lmcorrmodel.hpp File Reference

correlation model for libor market models More...

#include <ql/math/array.hpp>
#include <ql/math/matrix.hpp>
#include <ql/models/parameter.hpp>
#include <ql/utilities/null.hpp>

Include dependency graph for lmcorrmodel.hpp:


Classes

class  LmCorrelationModel
 libor forward correlation model More...

Detailed Description

correlation model for libor market models