org.jquantlib.legacy.libormarkets

Class LmLinearExponentialCorrelationModel

java.lang.Object

org.jquantlib.legacy.libormarkets.LmCorrelationModel

org.jquantlib.legacy.libormarkets.LmLinearExponentialCorrelationModel

public class LmLinearExponentialCorrelationModel
extends LmCorrelationModel

Constructor Summary

Constructors

Constructor and Description
LmLinearExponentialCorrelationModel(int size, double rho, double beta)
LmLinearExponentialCorrelationModel(int size, double rho, double beta, int factors)

Method Summary

Modifier and Type	Method and Description
Matrix	correlation(double time, Array x)
double	correlation(int i, int j, double time, Array x)
int	factors()
void	generateArguments()
boolean	isTimeIndependent()
Matrix	pseudoSqrt(double time, Array x)

Methods inherited from class org.jquantlib.legacy.libormarkets.LmCorrelationModel

correlation, correlation, params, setParams, size

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

LmLinearExponentialCorrelationModel

public LmLinearExponentialCorrelationModel(int size,
                                           double rho,
                                           double beta,
                                           int factors)

LmLinearExponentialCorrelationModel

public LmLinearExponentialCorrelationModel(int size,
                                           double rho,
                                           double beta)

Method Detail

correlation

public Matrix correlation(double time,
                          Array x)

Specified by:

correlation in class LmCorrelationModel

correlation

public double correlation(int i,
                          int j,
                          double time,
                          Array x)

Overrides:

correlation in class LmCorrelationModel

isTimeIndependent

public boolean isTimeIndependent()

Overrides:

isTimeIndependent in class LmCorrelationModel

factors

public int factors()

Overrides:

factors in class LmCorrelationModel

pseudoSqrt

public Matrix pseudoSqrt(double time,
                         Array x)

Overrides:

pseudoSqrt in class LmCorrelationModel

generateArguments

public void generateArguments()