expcorrelations (3) Linux Manual Page

ql/models/marketmodels/correlations/expcorrelations.hpp – exponential correlation matrix

Synopsis

#include <ql/math/matrix.hpp>
#include <ql/utilities/disposable.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>

Functions

Disposable< Matrix > exponentialCorrelations (const std::vector< Time > &rateTimes, Real longTermCorr=0.5, Real beta=0.2, Real gamma=1.0, Time t=0.0)

Detailed Description

exponential correlation matrix

Author

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