QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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exponential correlation matrix More...
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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) |
exponential correlation matrix
Definition in file expcorrelations.hpp.