QuantLib: LmLinearExponentialCorrelationModel Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | Protected Member Functions | List of all members
LmLinearExponentialCorrelationModel Class Reference

linear exponential correlation model More...

`#include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp>`

Inheritance diagram for LmLinearExponentialCorrelationModel:
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## Public Member Functions
| LmLinearExponentialCorrelationModel (Size size, Real rho, Real beta, Size factors=Null< Size >())
Disposable< Matrix > | correlation (Time t, const Array &x=Null< Array >()) const
Disposable< Matrix > | pseudoSqrt (Time t, const Array &x=Null< Array >()) const
Real | correlation (Size i, Size j, Time t, const Array &x) const
Size | factors () const
bool | isTimeIndependent () const
Public Member Functions inherited from LmCorrelationModel
| LmCorrelationModel (Size size, Size nArguments)
virtual Size | size () const
std::vector< Parameter > & | params ()
void | setParams (const std::vector< Parameter > &arguments)

## Protected Member Functions
void | generateArguments ()

## Additional Inherited Members
Protected Attributes inherited from LmCorrelationModel
const Size | size_
std::vector< Parameter > | arguments_

## Detailed Description

linear exponential correlation model

This class describes a exponential correlation model

\[ \rho_{i,j}=rho + (1-rho)*e^{(-\beta \|i-j\|)} \]

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)