Class ExponentialForwardCorrelation

Hierarchy

PiecewiseConstantCorrelation
- ExponentialForwardCorrelation

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new ExponentialForwardCorrelation(rateTimes: Time[], longTermCorr?: Real, beta?: Real, gamma?: Real, times?: Time[]): ExponentialForwardCorrelation

- Defined in ql/models/marketmodels/correlations/expcorrelations.ts:63
Parameters
- rateTimes: Time[]
- Default value longTermCorr: Real = 0.5
- Default value beta: Real = 0.2
- Default value gamma: Real = 1
- Default value times: Time[] = []
Returns ExponentialForwardCorrelation

Properties

Private _beta

_beta: Real

Private _correlations

_correlations: Matrix[]

Private _gamma

_gamma: Real

Private _longTermCorr

_longTermCorr: Real

Private _numberOfRates

_numberOfRates: Size

Private _rateTimes

_rateTimes: Time[]

Private _times

_times: Time[]

Methods

correlation

correlation(i: Size): Matrix

Inherited from PiecewiseConstantCorrelation.correlation
- Defined in ql/models/marketmodels/piecewiseconstantcorrelation.ts:21
Parameters
- i: Size
Returns Matrix

correlations

correlations(): Matrix[]

Overrides PiecewiseConstantCorrelation.correlations
- Defined in ql/models/marketmodels/correlations/expcorrelations.ts:125
Returns Matrix[]

numberOfRates

numberOfRates(): Size

Overrides PiecewiseConstantCorrelation.numberOfRates
- Defined in ql/models/marketmodels/correlations/expcorrelations.ts:128
Returns Size

rateTimes

rateTimes(): Time[]

Overrides PiecewiseConstantCorrelation.rateTimes
- Defined in ql/models/marketmodels/correlations/expcorrelations.ts:122
Returns Time[]

times

times(): Time[]

Overrides PiecewiseConstantCorrelation.times
- Defined in ql/models/marketmodels/correlations/expcorrelations.ts:119
Returns Time[]