QuantLib_LmExponentialCorrelationModel man page

LmExponentialCorrelationModel — exponential correlation model  

Synopsis

#include <ql/legacy/libormarketmodels/lmexpcorrmodel.hpp>

Inherits LmCorrelationModel.

Public Member Functions

LmExponentialCorrelationModel (Size size, Real rho)
Disposable< Matrix > correlation (Time t, const Array &x=Null< Array >()) const
Disposable< Matrix > pseudoSqrt (Time t, const Array &x=Null< Array >()) const
Real correlation (Size i, Size j, Time t, const Array &x) const
bool isTimeIndependent () const

Protected Member Functions

void generateArguments ()

Additional Inherited Members

Detailed Description

exponential correlation model

This class describes a exponential correlation model

[ rho_{i,j}=e^{(-beta i-j)} ].PP References:

Damiano Brigo, Fabio Mercurio, Massimo Morini, 2003, Different Covariance Parameterizations of Libor Market Model and Joint Caps/Swaptions Calibration, (http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Brigo_D.pdf)

Author

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Referenced By

The man page LmExponentialCorrelationModel(3) is an alias of QuantLib_LmExponentialCorrelationModel(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib