Class LIBORCorrelationModelThreeParameterExponentialDecay

java.lang.Object
net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
All Implemented Interfaces:
Serializable

public class LIBORCorrelationModelThreeParameterExponentialDecay extends LIBORCorrelationModel
Simple correlation model given by R, where R is a factor reduced matrix (see LinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = b + (1-b) * \exp(-a |T_{i} - T_{j}| - c \max(T_{i},T_{j}))
Version:
1.0
Author:
Christian Fries
See Also: