expcorrelations.hpp File Reference

exponential correlation matrix More...

#include <ql/math/matrix.hpp>
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>

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Classes
class	ExponentialForwardCorrelation

Namespaces
namespace	QuantLib

Functions
Matrix	exponentialCorrelations (const std::vector< Time > &rateTimes, Real longTermCorr, Real beta, Real gamma, Time time)

Detailed Description

exponential correlation matrix

Definition in file expcorrelations.hpp.