public LiborForwardModel(LiborForwardModelProcess process,
LmVolatilityModel volaModel,
LmCorrelationModel corrModel)
: base(volaModel.parameters().Count + corrModel.parameters().Count)
{
f_ = new InitializedList <double>(process.size());
accrualPeriod_ = new InitializedList <double>(process.size());
covarProxy_ = new LfmCovarianceProxy(volaModel, corrModel);
process_ = process;
int k = volaModel.parameters().Count;
for (int j = 0; j < k; j++)
{
arguments_[j] = volaModel.parameters()[j];
}
for (int j = 0; j < corrModel.parameters().Count; j++)
{
arguments_[j + k] = corrModel.parameters()[j];
}
for (int i = 0; i < process.size(); ++i)
{
accrualPeriod_[i] = process.accrualEndTimes()[i]
- process.accrualStartTimes()[i];
f_[i] = 1.0 / (1.0 + accrualPeriod_[i] * process_.initialValues()[i]);
}
}
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");
}