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/conferences/qmf2001/Brigo_D.pdf)


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Referenced By

The man page LmLinearExponentialCorrelationModel(3) is an alias of QuantLib_LmLinearExponentialCorrelationModel(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib