LmExponentialCorrelationModel Class Reference

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

Inheritance diagram for LmExponentialCorrelationModel:

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List of all members.

Detailed Description

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>)


Public Member Functions

 LmExponentialCorrelationModel (Size size, Real rho)
Disposable< Matrixcorrelation (Time t, const Array &x=Null< Array >()) const
Disposable< MatrixpseudoSqrt (Time t, const Array &x=Null< Array >()) const
Real correlation (Size i, Size j, Time t, const Array &x) const
bool isTimeIndependent () const

Protected Member Functions

void generateArguments ()