LMMLinearExpCorrModel2




http://www.QuantTools.com
CapeTools LMM Volatility/Correlation Models function list

Welcome | Documentation format | QuantTools Groups | QuantTools Categories | Licence

Key TAGs | Excel Index | API Index


Creates an extended exponential correlation model for the libor market model.

The resulting object is to be passed as a parameter to the LiborMarketModel() function.

The extended exponential correlation model is defined as : rho{i,j} = rho + (1-rho)*e^{(-beta*abs(i-j))}, where beta is the correlation.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "LMMFIXRHO2"



Note: Within Excel, the function is named - CT.MOD.LMMLinearExpCorrModel2


High level graphic of LMMLinearExpCorrModel2() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. LMMProcess parameter

    Key to an already constructed LMMProcess object.
  4. rho parameter

    rho.
  5. beta parameter

    Correlation rate.


Extended information

Function Syntax

VB Syntax 


String CTLMMVolCorrModels.LMMLinearExpCorrModel2( _
String Key, _
Long Reload, _
String LMMProcess, _
Double rho, _
Double beta)


Excel Spreadsheet Syntax 


=CT.MOD.LMMLinearExpCorrModel2(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell LMMProcess,
Excel Numeric Cell rho,
Excel Numeric Cell beta)


C++ Syntax 


static std::string LMMLinearExpCorrModel2(
std::string Key,
long Reload,
std::string LMMProcess,
double rho,
double beta);


DotNET Syntax 


System.String CTLMMVolCorrModelsSA.LMMLinearExpCorrModel2(
System.String Key,
System.Int32 Reload,
System.String LMMProcess,
System.Double rho,
System.Double beta);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
LMMProcessStringTRUE
rhoDoubleFALSE
betaDoubleFALSE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMyLMMLinearExpCorrModel2
ReloadFALSE1
LMMProcessFALSELMMProcessNAME.EXTTAG.TICKER (from a function call)
rhoFALSE0.1
betaFALSE0.8


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Models20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the LMMLinearExpCorrModel2() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the LMMLinearExpCorrModel2() function call


MyLMMLinearExpCorrModel2_8.LMMFIXRHO2.0

Copyright (c) 2003-2007 CapeTools - All Rights Reserved.