ql/models/marketmodels/correlations/expcorrelations.hpp File Reference
exponential correlation matrix More...
#include <ql/math/matrix.hpp>
#include <ql/utilities/disposable.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>
Include dependency graph for expcorrelations.hpp:

Functions | |
Disposable< Matrix > | exponentialCorrelations (const std::vector< Time > &rateTimes, Real longTermCorr=0.5, Real beta=0.2, Real gamma=1.0, Time t=0.0) |
Detailed Description
exponential correlation matrix