LmLinearExponentialCorrelationModel Class Reference
#include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp>
Inheritance diagram for LmLinearExponentialCorrelationModel:

Detailed Description
linear exponential correlation modelThis class describes a exponential correlation model
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 | |
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 () |