20#include <ql/math/matrixutilities/pseudosqrt.hpp>
21#include <ql/legacy/libormarketmodels/lmexpcorrmodel.hpp>
28 corrMatrix_(size, size),
29 pseudoSqrt_(size, size) {
60 = std::exp(-rho*std::fabs(
Real(i)-
Real(j)));
1-D array used in linear algebra.
Standard constant parameter .
libor forward correlation model
std::vector< Parameter > arguments_
Matrix pseudoSqrt(Time t, const Array &x=Null< Array >()) const override
bool isTimeIndependent() const override
void generateArguments() override
LmExponentialCorrelationModel(Size size, Real rho)
Matrix correlation(Time t, const Array &x=Null< Array >()) const override
Matrix used in linear algebra.
Constraint imposing positivity to all arguments
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
Matrix pseudoSqrt(const Matrix &matrix, SalvagingAlgorithm::Type sa)