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VolatilityAndCorrelation.h File Reference


Detailed Description

Interface and implementation of deterministic volatility surfaces and constant correlations. These are used in the factor loadings of Ito processes (such as asset or Libor logarithms (returns)), see FactorLoading and LiborFactorLoading.

Definition in file VolatilityAndCorrelation.h.

#include "TypedefsMacros.h"
#include "Matrix.h"
#include <string>
#include <iostream>

Go to the source code of this file.

Compounds

class  VolSurface
class  JR_VolSurface
class  M_VolSurface
class  CONST_VolSurface
class  Correlations
class  JR_Correlations
class  CS_Correlations


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