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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)

Hierarchy

Index

Constructors

constructor

Properties

Protected _arguments

_arguments: Parameter[]

Private _corrMatrix

_corrMatrix: Matrix

Private _factors

_factors: Size

Private _pseudoSqrt

_pseudoSqrt: Matrix

Protected _size

_size: Size

Methods

correlation1

correlation2

factors

Protected generateArguments

  • generateArguments(): void

isTimeIndependent

  • isTimeIndependent(): boolean

params

pseudoSqrt

setParams

size