ExponentialForwardCorrelation Class Reference

#include <ql/models/marketmodels/correlations/expcorrelations.hpp>

Inheritance diagram for ExponentialForwardCorrelation:

Collaboration diagram for ExponentialForwardCorrelation:

Public Member Functions
	ExponentialForwardCorrelation (const std::vector< Time > &rateTimes, Real longTermCorr=0.5, Real beta=0.2, Real gamma=1.0, std::vector< Time > times=std::vector< Time >())
const std::vector< Time > &	times () const override
const std::vector< Time > &	rateTimes () const override
const std::vector< Matrix > &	correlations () const override
Size	numberOfRates () const override
Public Member Functions inherited from PiecewiseConstantCorrelation
virtual	~PiecewiseConstantCorrelation ()=default
virtual const std::vector< Time > &	times () const =0
virtual const std::vector< Time > &	rateTimes () const =0
virtual const std::vector< Matrix > &	correlations () const =0
virtual const Matrix &	correlation (Size i) const
virtual Size	numberOfRates () const =0

Private Attributes
Size	numberOfRates_
Real	longTermCorr_
Real	beta_
Real	gamma_
std::vector< Time >	rateTimes_
std::vector< Time >	times_
std::vector< Matrix >	correlations_

Detailed Description

Examples

MarketModels.cpp.

Definition at line 47 of file expcorrelations.hpp.

Constructor & Destructor Documentation

ExponentialForwardCorrelation()

ExponentialForwardCorrelation	(	const std::vector< Time > &	rateTimes,
		Real	longTermCorr = 0.5,
		Real	beta = 0.2,
		Real	gamma = 1.0,
		std::vector< Time >	times = std::vector<Time>()
	)

Definition at line 74 of file expcorrelations.cpp.

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Member Function Documentation

times()

const std::vector< Time > & times ( ) const

overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 124 of file expcorrelations.cpp.

rateTimes()

const std::vector< Time > & rateTimes ( ) const

overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 129 of file expcorrelations.cpp.

correlations()

const std::vector< Matrix > & correlations ( ) const

overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 134 of file expcorrelations.cpp.

numberOfRates()

Size numberOfRates ( ) const

overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 138 of file expcorrelations.cpp.

Member Data Documentation

numberOfRates_

Size numberOfRates_

private

Definition at line 61 of file expcorrelations.hpp.

longTermCorr_

Real longTermCorr_

private

Definition at line 62 of file expcorrelations.hpp.

beta_

Real beta_

private

Definition at line 62 of file expcorrelations.hpp.

gamma_

Real gamma_

private

Definition at line 62 of file expcorrelations.hpp.

rateTimes_

std::vector<Time> rateTimes_

private

Definition at line 63 of file expcorrelations.hpp.

times_

std::vector<Time> times_

private

Definition at line 63 of file expcorrelations.hpp.

correlations_

std::vector<Matrix> correlations_

private

Definition at line 64 of file expcorrelations.hpp.