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expcorrelations.hpp
Langue: en
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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