ql/models/marketmodels/correlations/expcorrelations.hpp File Reference


Detailed Description

exponential correlation matrix

#include <ql/math/matrix.hpp>
#include <ql/utilities/disposable.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>

Include dependency graph for expcorrelations.hpp:


Namespaces

namespace  QuantLib

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)