expcorrelations.hpp

Langue: en

Autres versions - même langue

Version: 374922 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

NAME

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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