exponential correlation model More...
#include <ql/legacy/libormarketmodels/lmexpcorrmodel.hpp>
Inheritance diagram for LmExponentialCorrelationModel: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 |
Public Member Functions inherited from LmCorrelationModel | |
| LmCorrelationModel (Size size, Size nArguments) | |
| virtual Size | size () const |
| virtual Size | factors () const |
| std::vector< Parameter > & | params () |
| void | setParams (const std::vector< Parameter > &arguments) |
Protected Member Functions | |
| void | generateArguments () |
Additional Inherited Members | |
Protected Attributes inherited from LmCorrelationModel | |
| const Size | size_ |
| std::vector< Parameter > | arguments_ |
exponential correlation model
This class describes a exponential correlation model
\[ \rho_{i,j}=e^{(-\beta \|i-j\|)} \]
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)