expcorrelations.hpp File Reference

exponential correlation matrix More...

#include <ql/math/matrix.hpp>
#include <ql/utilities/disposable.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>
Include dependency graph for expcorrelations.hpp:

Namespaces

 QuantLib
 

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