LmLinearExponentialCorrelationModel Class Reference

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

Inheritance diagram for LmLinearExponentialCorrelationModel:

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List of all members.

Detailed Description

linear exponential correlation model

This class describes a exponential correlation model

\[ \rho_{i,j}=rho + (1-rho)*e^{(-\beta \|i-j\|)} \]

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

 LmLinearExponentialCorrelationModel (Size size, Real rho, Real beta, Size factors=Null< Size >())
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
Size factors () const
bool isTimeIndependent () const

Protected Member Functions

void generateArguments ()