QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | List of all members
LmLinearExponentialCorrelationModel Class Reference

linear exponential correlation model More...

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

+ Inheritance diagram for LmLinearExponentialCorrelationModel:

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
 
- Public Member Functions inherited from LmCorrelationModel
 LmCorrelationModel (Size size, Size nArguments)
 
virtual Size size () const
 
std::vector< Parameter > & params ()
 
void setParams (const std::vector< Parameter > &arguments)
 

Protected Member Functions

void generateArguments ()
 

Additional Inherited Members

- Protected Attributes inherited from LmCorrelationModel
const Size size_
 
std::vector< Parameterarguments_
 

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)