QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces | Functions
expcorrelations.hpp File Reference

exponential correlation matrix More...

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

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Classes

class  ExponentialForwardCorrelation
 

Namespaces

namespace  QuantLib
 

Functions

Matrix exponentialCorrelations (const std::vector< Time > &rateTimes, Real longTermCorr, Real beta, Real gamma, Time time)
 

Detailed Description

exponential correlation matrix

Definition in file expcorrelations.hpp.