Main Page   Namespace List   Class Hierarchy   Alphabetical List   Compound List   File List   Namespace Members   Compound Members   File Members  

VolatilityAndCorrelation.h File Reference

Detailed Description

Interface and implementation of deterministic volatility surfaces and constant correlations. These are used in the factor loadings of Ito processes (such as asset or Libor logarithms (returns)), see FactorLoading and LiborFactorLoading.

Definition in file VolatilityAndCorrelation.h.

#include "TypedefsMacros.h"
#include "Matrix.h"
#include <string>
#include <iostream>

Go to the source code of this file.


class  VolSurface
class  JR_VolSurface
class  M_VolSurface
class  CONST_VolSurface
class  Correlations
class  JR_Correlations
class  CS_Correlations

Generated on Mon Sep 22 02:16:32 2003 for Libor-Library by doxygen1.3-rc3