Ejemplo n.º 1
0
        public LfmCovarianceProxy(LmVolatilityModel volaModel,
                                  LmCorrelationModel corrModel)
            : base(corrModel.size(), corrModel.factors())
        {
            volaModel_ = volaModel;
            corrModel_ = corrModel;

            Utils.QL_REQUIRE(volaModel_.size() == corrModel_.size(), () =>
                             "different size for the volatility (" + volaModel_.size() + ") and correlation (" + corrModel_.size() + ") models");
        }
        public LfmCovarianceProxy(LmVolatilityModel volaModel,
                           LmCorrelationModel corrModel)
            : base(corrModel.size(), corrModel.factors()){
            volaModel_=volaModel;
            corrModel_=corrModel ;

            if(!(volaModel_.size() == corrModel_.size()))
                throw new ArgumentException("different size for the volatility (" + volaModel_.size() +
                                            ") and correlation (" + corrModel_.size() +
                                            ") models");
        }
Ejemplo n.º 3
0
        public LfmCovarianceProxy(LmVolatilityModel volaModel,
                                  LmCorrelationModel corrModel)
            : base(corrModel.size(), corrModel.factors())
        {
            volaModel_ = volaModel;
            corrModel_ = corrModel;

            if (!(volaModel_.size() == corrModel_.size()))
            {
                throw new ArgumentException("different size for the volatility (" + volaModel_.size() +
                                            ") and correlation (" + corrModel_.size() +
                                            ") models");
            }
        }