lmlinexpcorrmodel.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file lmlinexpcorrmodel.hpp
    \brief exponential correlation model for libor market models
*/
 
#ifndef quantlib_libor_forward_linear_exp_correlation_model_hpp
#define quantlib_libor_forward_linear_exp_correlation_model_hpp
 
#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>
 
namespace QuantLib {
 
    //! %linear exponential correlation model
    /*! This class describes a exponential correlation model
 
        \f[
        \rho_{i,j}=rho + (1-rho)*e^{(-\beta \|i-j\|)}
        \f]
 
        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>)
    */
    class LmLinearExponentialCorrelationModel : public LmCorrelationModel {
      public:
        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;
 
      protected:
        void generateArguments() override;
 
      private:
        Matrix corrMatrix_, pseudoSqrt_;
        const Size factors_;
    };
 
}
 
 
#endif