LmLinearExponentialCorrelationModel Class Reference

linear exponential correlation model More...

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

Inheritance diagram for LmLinearExponentialCorrelationModel:

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Public Member Functions
	LmLinearExponentialCorrelationModel (Size size, Real rho, Real beta, Size factors=Null< Size >())
Matrix	correlation (Time t, const Array &x=Null< Array >()) const override
Matrix	pseudoSqrt (Time t, const Array &x=Null< Array >()) const override
Real	correlation (Size i, Size j, Time t, const Array &x) const override
Size	factors () const override
bool	isTimeIndependent () const override
Public Member Functions inherited from LmCorrelationModel
	LmCorrelationModel (Size size, Size nArguments)
virtual	~LmCorrelationModel ()=default
virtual Size	size () const
virtual Size	factors () const
std::vector< Parameter > &	params ()
void	setParams (const std::vector< Parameter > &arguments)
virtual Matrix	correlation (Time t, const Array &x=Null< Array >()) const =0
virtual Matrix	pseudoSqrt (Time t, const Array &x=Null< Array >()) const
virtual Real	correlation (Size i, Size j, Time t, const Array &x=Null< Array >()) const
virtual bool	isTimeIndependent () const

Protected Member Functions
void	generateArguments () override
virtual void	generateArguments ()=0

Private Attributes
Matrix	corrMatrix_
Matrix	pseudoSqrt_
const Size	factors_

Additional Inherited Members
Protected Attributes inherited from LmCorrelationModel
const Size	size_
std::vector< Parameter >	arguments_

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)

Definition at line 45 of file lmlinexpcorrmodel.hpp.

Constructor & Destructor Documentation

LmLinearExponentialCorrelationModel()

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

Definition at line 25 of file lmlinexpcorrmodel.cpp.

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Member Function Documentation

correlation() [1/2]

Matrix correlation ( Time  t, const Array &  x = Null<Array>()  ) const

overridevirtual

Implements LmCorrelationModel.

Definition at line 35 of file lmlinexpcorrmodel.cpp.

pseudoSqrt()

Matrix pseudoSqrt ( Time  t, const Array &  x = Null<Array>()  ) const

overridevirtual

Reimplemented from LmCorrelationModel.

Definition at line 54 of file lmlinexpcorrmodel.cpp.

correlation() [2/2]

Real correlation ( Size  i, Size  j, Time  t, const Array &  x  ) const

overridevirtual

Reimplemented from LmCorrelationModel.

Definition at line 40 of file lmlinexpcorrmodel.cpp.

factors()

Size factors ( ) const

overridevirtual

Reimplemented from LmCorrelationModel.

Definition at line 49 of file lmlinexpcorrmodel.cpp.

isTimeIndependent()

bool isTimeIndependent ( ) const

overridevirtual

Reimplemented from LmCorrelationModel.

Definition at line 45 of file lmlinexpcorrmodel.cpp.

generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Implements LmCorrelationModel.

Definition at line 59 of file lmlinexpcorrmodel.cpp.

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Member Data Documentation

corrMatrix_

Matrix corrMatrix_

private

Definition at line 61 of file lmlinexpcorrmodel.hpp.

pseudoSqrt_

Matrix pseudoSqrt_

private

Definition at line 61 of file lmlinexpcorrmodel.hpp.

factors_

const Size factors_

private

Definition at line 62 of file lmlinexpcorrmodel.hpp.