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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <ql/math/comparison.hpp>#include <ql/models/marketmodels/correlations/expcorrelations.hpp>#include <ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.hpp>#include <ql/models/marketmodels/utilities.hpp>#include <ql/utilities/dataformatters.hpp>#include <utility>Go to the source code of this file.
Namespaces | |
| namespace | QuantLib |
Functions | |
| Matrix | exponentialCorrelations (const std::vector< Time > &rateTimes, Real longTermCorr, Real beta, Real gamma, Time time) |