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JR_Correlations Class Reference

#include <VolatilityAndCorrelation.h>

Inheritance diagram for JR_Correlations:

List of all members.

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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
Correlations *	sample (int n, Real delta=0.25)

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Constructor & Destructor Documentation

JR_Correlations::JR_Correlations (  const RealArray1D &    T, Real    beta )

Parameters: 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.

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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 )  [static]

Sample correlations. Parameters: n  dimension. delta  Libor accrual interval length.

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

• VolatilityAndCorrelation.h

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