Class TermStructCovarianceModelFromLIBORCovarianceModelParametric

    • Constructor Detail

      • TermStructCovarianceModelFromLIBORCovarianceModelParametric

        public TermStructCovarianceModelFromLIBORCovarianceModelParametric​(TermStructureTenorTimeScaling tenorTimeScalingModel,
                                                                           AbstractLIBORCovarianceModelParametric covarianceModel)
        Parameters:
        tenorTimeScalingModel - The model used for the tenor time re-scaling (providing the scaling coefficients).
        covarianceModel - The model implementing AbstractLIBORCovarianceModelParametric.