Class LIBORCovarianceModelFromVolatilityAndCorrelation

All Implemented Interfaces:
Serializable, LIBORCovarianceModel, LIBORCovarianceModelCalibrateable

public class LIBORCovarianceModelFromVolatilityAndCorrelation extends AbstractLIBORCovarianceModelParametric
A covariance model build from a volatility model implementing LIBORVolatilityModel and a correlation model implementing LIBORCorrelationModel.

The model parameters are given by the concatenation of the parameters of the LIBORVolatilityModel and the parameters of the LIBORCorrelationModel, in this ordering

Version:
1.0
Author:
Christian Fries
See Also: