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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/math/matrixutilities/pseudosqrt.hpp>
#include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp>
namespace QuantLib {
LmLinearExponentialCorrelationModel::LmLinearExponentialCorrelationModel(
Size size, Real rho, Real beta, Size factors)
: LmCorrelationModel(size, 2),
corrMatrix_(size, size),
factors_((factors != Null<Size>()) ? factors : size) {
arguments_[0] = ConstantParameter(rho, BoundaryConstraint(-1.0, 1.0));
arguments_[1] = ConstantParameter(beta, PositiveConstraint());
generateArguments();
}
Disposable<Matrix> LmLinearExponentialCorrelationModel::correlation(
Time, const Array&) const {
Matrix tmp(corrMatrix_);
return tmp;
}
Real LmLinearExponentialCorrelationModel::correlation(
Size i, Size j, Time, const Array&) const {
return corrMatrix_[i][j];
}
bool LmLinearExponentialCorrelationModel::isTimeIndependent() const {
return true;
}
Size LmLinearExponentialCorrelationModel::factors() const {
return factors_;
}
Disposable<Matrix> LmLinearExponentialCorrelationModel::pseudoSqrt(
Time, const Array&) const {
Matrix tmp(pseudoSqrt_);
return tmp;
}
void LmLinearExponentialCorrelationModel::generateArguments() {
const Real rho = arguments_[0](0.0);
const Real beta= arguments_[1](0.0);
for (Size i=0; i<size_; ++i) {
for (Size j=i; j<size_; ++j) {
corrMatrix_[i][j] = corrMatrix_[j][i]
= rho + (1-rho)*std::exp(-beta*std::fabs(Real(i)-Real(j)));
}
}
pseudoSqrt_ = rankReducedSqrt(corrMatrix_, factors_,
1.0, SalvagingAlgorithm::None);
corrMatrix_ = pseudoSqrt_ * transpose(pseudoSqrt_);
}
}
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