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JR_Correlations Class Reference

#include <VolatilityAndCorrelation.h>

Inheritance diagram for JR_Correlations:

Correlations List of all members.

Detailed Description

Jaeckel-Rebonato correlations of the form

Definition at line 413 of file VolatilityAndCorrelation.h.

Public Member Functions

 JR_Correlations (const RealArray1D &T, Real beta)
virtual ~JR_Correlations ()
void setCorrelations ()
std::ostream & printSelf (std::ostream &os) const

Static Public Member Functions

Correlationssample (int n, Real delta=0.25)

Constructor & Destructor Documentation

JR_Correlations::JR_Correlations const RealArray1D   T,
Real    beta

T tenor structure of Libor process.
beta see class description.

virtual JR_Correlations::~JR_Correlations   [inline, virtual]

Definition at line 425 of file VolatilityAndCorrelation.h.

Member Function Documentation

void JR_Correlations::setCorrelations   [virtual]

Updates correlation matrix using the current parameters.

Implements Correlations.

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

Message and fields.

Implements Correlations.

Correlations* JR_Correlations::sample int    n,
Real    delta = 0.25

Sample correlations.

n dimension.
delta Libor accrual interval length.

The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3