1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Marco Bianchetti
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2007 François du Vignaud
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
<https://www.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.
*/
/*! \file expcorrelations.hpp
\brief exponential correlation matrix
*/
#ifndef quantlib_exp_correlations_hpp
#define quantlib_exp_correlations_hpp
#include <ql/math/matrix.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>
namespace QuantLib {
/*! Exponential correlation
L = long term correlation
beta = exponential decay of correlation between far away forward rates
gamma = exponent for time to go
t = time dependence
*/
Matrix exponentialCorrelations(const std::vector<Time>& rateTimes,
Real longTermCorr = 0.5,
Real beta = 0.2,
Real gamma = 1.0,
Time t = 0.0);
class ExponentialForwardCorrelation :
public PiecewiseConstantCorrelation {
public:
ExponentialForwardCorrelation(const std::vector<Time>& rateTimes,
Real longTermCorr = 0.5,
Real beta = 0.2,
Real gamma = 1.0,
std::vector<Time> times = std::vector<Time>());
const std::vector<Time>& times() const override;
const std::vector<Time>& rateTimes() const override;
const std::vector<Matrix>& correlations() const override;
Size numberOfRates() const override;
private:
Size numberOfRates_;
Real longTermCorr_, beta_, gamma_;
std::vector<Time> rateTimes_, times_;
std::vector<Matrix> correlations_;
};
}
#endif
|
