Class LIBORCorrelationModelExponentialDecay

    • Constructor Detail

      • LIBORCorrelationModelExponentialDecay

        public LIBORCorrelationModelExponentialDecay​(TimeDiscretization timeDiscretization,
                                                     TimeDiscretization liborPeriodDiscretization,
                                                     int numberOfFactors,
                                                     double a,
                                                     boolean isCalibrateable)
        Create a correlation model with an exponentially decaying correlation structure and the given number of factors.
        Parameters:
        timeDiscretization - Simulation time dicretization. Not used.
        liborPeriodDiscretization - TenorFromArray time discretization, i.e., the \( T_{i} \)'s.
        numberOfFactors - Number \( n \) of factors to be used.
        a - Decay parameter. Should be positive. Negative values will be floored to 0.
        isCalibrateable - If true, the parameter will become a free parameter in a calibration.
      • LIBORCorrelationModelExponentialDecay

        public LIBORCorrelationModelExponentialDecay​(TimeDiscretization timeDiscretization,
                                                     TimeDiscretization liborPeriodDiscretization,
                                                     int numberOfFactors,
                                                     double a)