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QuantLib_LmLinearExponentialCorrelationModel
Langue: en
Version: 383572 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::LmLinearExponentialCorrelationModel -linear exponential correlation model
SYNOPSIS
#include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp>
Inherits QuantLib::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 ()
Detailed Description
linear exponential correlation model
This class describes a exponential correlation model
[ ho_{i,j}=rho + (1-rho)*e^{(-ferences:
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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