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

Christian Fries
See Also:
Serialized Form