template struct xf::fintech::lmmCorrelationGenerator

#include "lmm.hpp"

Overview

Class with parametric correlation matrix generators for the LMM. These functions will generate symmetric, positive and monotonically decreasing correlation matrices based on user parameters.

Parameters:

DT	The data type for the correlation values.

template <typename DT>
struct lmmCorrelationGenerator

Methods

oneParametricCorrelation

static void oneParametricCorrelation (
    DT beta,
    unsigned noTenors,
    hls::stream <DT>& rho
    )

Calculates 1-parametric correlation matrix, with evenly spaced tenors

\[rho_ij = exp(-beta * |T_i - T_j|)\]

.

twoParametricCorrelation

static void twoParametricCorrelation (
    DT beta [2],
    unsigned noTenors,
    hls::stream <DT>& rho
    )

Calculates 2-parametric correlation matrix, with evenly spaced tenors

\[rho_ij = beta_0 + (1 - beta_0) * exp(-beta_1 * |T_i - T_j|)\]

.