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

exponential correlation model for libor market models More...

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

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Classes

class  LmLinearExponentialCorrelationModel
 linear exponential correlation model More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

exponential correlation model for libor market models

Definition in file lmlinexpcorrmodel.hpp.