QuantLib_LmLinearExponentialCorrelationModel man page

LmLinearExponentialCorrelationModel — linear exponential correlation model


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

Inherits LmCorrelationModel.

Public Member Functions

LmLinearExponentialCorrelationModel (Size size, Real rho, Real beta, Size factors=Null< Size >())

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

Size factors () const

bool isTimeIndependent () const

Protected Member Functions

void generateArguments ()

Additional Inherited Members

Detailed Description

linear exponential correlation model

This class describes a exponential correlation model

[ rho_{i,j}=rho + (1-rho)*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/con…)


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Referenced By

LmLinearExponentialCorrelationModel(3) is an alias of QuantLib_LmLinearExponentialCorrelationModel(3).

QuantLib Version 1.8.1 Fri Sep 23 2016