HJM.py 文件源码

def expCovar(xs,kappa,chol=False):
    '''
    Given a spatial mesh x, return an exponential
    covariance matrix with inverse correlation length
    kappa.
    '''

    x,y = np.meshgrid(xs,xs)
    rv = np.exp(-1.0*kappa*abs(x-y))
    if chol:
        return spal.cholesky(rv)
    return rv