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Correlations Class Reference

#include <VolatilityAndCorrelation.h>

Inheritance diagram for Correlations:

List of all members.

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Detailed Description

Constant instantaneous correlations of asset returns, log-Libors, ... To simplify calibration (the same parameters for all types) we assume that the correlations depend on three Real paramters

If more are needed the calibration routines will have to be rewritten in trivial ways. Only Libor correlations are implemented. To cater to this case the correlations are indexed

with index base 1. All matrices, vectors respect this convention. The reason is that Libor is constant and is not evolved.

Definition at line 329 of file VolatilityAndCorrelation.h.

Public Member Functions
int	getType () const
int	getDimension () const
	Correlations (int n, Real alpha, Real beta, Real r_oo, int correlationType)
virtual	~Correlations ()
virtual void	setCorrelations ()=0
Real &	operator() (int i, int j)
const UTRRealMatrix &	getCorrelationMatrix () const
void	setParameters (Real _alpha, Real _beta, Real _r_oo)
virtual std::ostream &	printSelf (std::ostream &os) const=0
std::string	correlationType ()
Static Public Member Functions
string	correlationType (int type)
Correlations *	sample (int n, int type)
Static Public Attributes
const int	JR = 0
const int	CS = 1
Protected Attributes
int	n
int	corrType
Real	alpha
Real	beta
Real	r_oo
UTRRealMatrix	correlationMatrix

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Constructor & Destructor Documentation

Correlations::Correlations (  int    n, Real    alpha, Real    beta, Real    r_oo, int    correlationType )

Correlation matrix is allocated but not initialized Do this from the concrete subclasses. Parameters: correlationType  JR or CS. alpha  see class description.

virtual Correlations::~Correlations (    )  [inline, virtual]

Definition at line 366 of file VolatilityAndCorrelation.h.

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Member Function Documentation

int Correlations::getType (    )  const [inline]

CS or JR. Definition at line 350 of file VolatilityAndCorrelation.h.

string Correlations::correlationType (  int    type )  [static]

"CS" or "JR", converts integer type ID to string.

int Correlations::getDimension (    )  const [inline]

n: index range [1,n). Definition at line 356 of file VolatilityAndCorrelation.h.

Correlations* Correlations::sample (  int    n, int    type )  [static]

A sample correlation in dimension n of type = JR, CS.

virtual void Correlations::setCorrelations (    )  [pure virtual]

Update correlation matrix using the current parameters. Implemented in JR_Correlations, and CS_Correlations.

Real& Correlations::operator() (  int    i, int    j )

Correlations for .

const UTRRealMatrix& Correlations::getCorrelationMatrix (    )  const [inline]

The upper half of the correlation matrix Definition at line 385 of file VolatilityAndCorrelation.h.

void Correlations::setParameters (  Real    _alpha, Real    _beta, Real    _r_oo )

Sets the parameters (calibration).

virtual std::ostream& Correlations::printSelf (  std::ostream &    os )  const [pure virtual]

Message and fields. Implemented in JR_Correlations, and CS_Correlations.

std::string Correlations::correlationType (    )

Converts integer type ID to string "JR", "CS".

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Member Data Documentation

int Correlations::n [protected]

Index range [1,n). Definition at line 334 of file VolatilityAndCorrelation.h.

int Correlations::corrType [protected]

The type of correlations JR, CS Definition at line 338 of file VolatilityAndCorrelation.h.

Real Correlations::alpha [protected]

Definition at line 340 of file VolatilityAndCorrelation.h.

Real Correlations::beta [protected]

Definition at line 340 of file VolatilityAndCorrelation.h.

Real Correlations::r_oo [protected]

Definition at line 340 of file VolatilityAndCorrelation.h.

UTRRealMatrix Correlations::correlationMatrix [protected]

Definition at line 342 of file VolatilityAndCorrelation.h.

const int Correlations::JR = 0 [static]

Correlation type JR, CS. Definition at line 347 of file VolatilityAndCorrelation.h.

const int Correlations::CS = 1 [static]

Correlation type JR, CS. Definition at line 347 of file VolatilityAndCorrelation.h.

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

• VolatilityAndCorrelation.h

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