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CS_Correlations Class Reference

#include <VolatilityAndCorrelation.h>

Inheritance diagram for CS_Correlations:

Correlations List of all members.

Detailed Description

Coffee-Shoenmakers correlations. See book, 6.11.1.

Definition at line 453 of file VolatilityAndCorrelation.h.

Public Member Functions

 CS_Correlations (int n, Real alpha, Real beta, Real r_oo)
virtual ~CS_Correlations ()
void setCorrelations ()
std::ostream & printSelf (std::ostream &os) const

Static Public Member Functions

Correlationssample (int n)

Constructor & Destructor Documentation

CS_Correlations::CS_Correlations int    n,
Real    alpha,
Real    beta,
Real    r_oo

alpha see class description.

virtual CS_Correlations::~CS_Correlations   [inline, virtual]

Definition at line 461 of file VolatilityAndCorrelation.h.

Member Function Documentation

void CS_Correlations::setCorrelations   [virtual]

Updates correlation matrix using the current parameters.

Implements Correlations.

std::ostream& CS_Correlations::printSelf std::ostream &    os const [virtual]

Message and fields.

Implements Correlations.

Correlations* CS_Correlations::sample int    n [static]

Sample correlations.

n dimension.

The documentation for this class was generated from the following file:
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