linear exponential correlation model More...
#include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp>
 Inheritance diagram for LmLinearExponentialCorrelationModel:
 Inheritance diagram for LmLinearExponentialCorrelationModel:| 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 | 
|  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< Parameter > | arguments_ | 
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)