Module net.finmath.lib

Package net.finmath.singleswaprate.model.curves

package net.finmath.singleswaprate.model.curves

Additional curves for use in an analytic model, AnalyticModel.

Author:

Christian Fries, Roland Bachl

Class Summary

Class	Description
ExponentialCorrelationCurve	A curve, which models exponential decay of correlation from one point in time to another, according to \[ \max\{e^{c(t-T)}, 1\} \, .