QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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exponential correlation model More...
#include <ql/legacy/libormarketmodels/lmexpcorrmodel.hpp>
Public Member Functions | |
LmExponentialCorrelationModel (Size size, Real rho) | |
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 |
bool | isTimeIndependent () const override |
Public Member Functions inherited from LmCorrelationModel | |
LmCorrelationModel (Size size, Size nArguments) | |
virtual | ~LmCorrelationModel ()=default |
virtual Size | size () const |
virtual Size | factors () const |
std::vector< Parameter > & | params () |
void | setParams (const std::vector< Parameter > &arguments) |
virtual Matrix | correlation (Time t, const Array &x=Null< Array >()) const =0 |
virtual Matrix | pseudoSqrt (Time t, const Array &x=Null< Array >()) const |
virtual Real | correlation (Size i, Size j, Time t, const Array &x=Null< Array >()) const |
virtual bool | isTimeIndependent () const |
Protected Member Functions | |
void | generateArguments () override |
virtual void | generateArguments ()=0 |
Private Attributes | |
Matrix | corrMatrix_ |
Matrix | pseudoSqrt_ |
Additional Inherited Members | |
Protected Attributes inherited from LmCorrelationModel | |
const Size | size_ |
std::vector< Parameter > | arguments_ |
exponential correlation model
This class describes a exponential correlation model
\[ \rho_{i,j}=e^{(-\beta \|i-j\|)} \]
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)
Definition at line 45 of file lmexpcorrmodel.hpp.
LmExponentialCorrelationModel | ( | Size | size, |
Real | rho | ||
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Implements LmCorrelationModel.
Definition at line 34 of file lmexpcorrmodel.cpp.
Reimplemented from LmCorrelationModel.
Definition at line 49 of file lmexpcorrmodel.cpp.
Reimplemented from LmCorrelationModel.
Definition at line 40 of file lmexpcorrmodel.cpp.
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overridevirtual |
Reimplemented from LmCorrelationModel.
Definition at line 45 of file lmexpcorrmodel.cpp.
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overrideprotectedvirtual |
Implements LmCorrelationModel.
Definition at line 54 of file lmexpcorrmodel.cpp.
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private |
Definition at line 58 of file lmexpcorrmodel.hpp.
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private |
Definition at line 58 of file lmexpcorrmodel.hpp.