External module "ql/models/marketmodels/correlations/expcorrelations"

exponentialCorrelations

• exponentialCorrelations(rateTimes: Time[], longTermCorr?: Real, beta?: Real, gamma?: Real, time?: Time): Matrix

• 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

  Parameters

  • rateTimes: Time[]

  • Default value longTermCorr: Real = 0.5

  • Default value beta: Real = 0.2

  • Default value gamma: Real = 1

  • Default value time: Time = 0

  Returns Matrix