BaseCorrelationQuote Class Reference

market element whose value depends on two other market element More...

#include <qle/quotes/basecorrelationquote.hpp>

Inheritance diagram for BaseCorrelationQuote:

Collaboration diagram for BaseCorrelationQuote:

Public Member Functions
	BaseCorrelationQuote (const Handle< QuantExt::BaseCorrelationTermStructure > &bcts, Period term, Real lossLevel, bool extrapolate)
inspectors
Handle< QuantExt::BaseCorrelationTermStructure >	termStructure () const
Period	term () const
Real	lossLevel () const
bool	extrapolate () const
Quote interface
Real	value () const override
bool	isValid () const override

Observer interface
Handle< QuantExt::BaseCorrelationTermStructure >	bcts_
Period	term_
Real	lossLevel_
bool	extrapolate_
void	update () override

Detailed Description

market element whose value depends on two other market element

Tests:

the correctness of the returned values is tested by checking them against numerical calculations.

Definition at line 38 of file basecorrelationquote.hpp.

Constructor & Destructor Documentation

BaseCorrelationQuote()

BaseCorrelationQuote	(	const Handle< QuantExt::BaseCorrelationTermStructure > &	bcts,
		Period	term,
		Real	lossLevel,
		bool	extrapolate
	)

Definition at line 68 of file basecorrelationquote.hpp.

    : bcts_(bcts), term_(term), lossLevel_(lossLevel), extrapolate_(extrapolate) {
    QL_REQUIRE(lossLevel > 0.0 && lossLevel <= 1.0, "lossLevel " << lossLevel << " out of range");
    registerWith(bcts_);
}

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Member Function Documentation

termStructure()

Handle< QuantExt::BaseCorrelationTermStructure > termStructure

(

)

const

Definition at line 44 of file basecorrelationquote.hpp.

{ return bcts_; }

term()

Period term

(

)

const

Definition at line 45 of file basecorrelationquote.hpp.

{ return term_; }

lossLevel()

Real lossLevel

(

)

const

Definition at line 46 of file basecorrelationquote.hpp.

{ return lossLevel_; }

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extrapolate()

bool extrapolate

(

)

const

Definition at line 47 of file basecorrelationquote.hpp.

{ return extrapolate_; }

value()

Real value ( ) const

override

Definition at line 75 of file basecorrelationquote.hpp.

                                              {
    QL_ENSURE(isValid(), "invalid BaseCorrelationQuote");
    Date ref = bcts_->referenceDate();
    Real c = bcts_->correlation(ref + term_, lossLevel_, extrapolate_);
    // FIXME this should be handled in the input correlation term structure
    return std::min(1.0 - QL_EPSILON, std::max(QL_EPSILON, c));
}

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isValid()

bool isValid ( ) const

override

Definition at line 83 of file basecorrelationquote.hpp.

                                                {
    return !bcts_.empty();
}

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update()

void update ( )

override

Definition at line 87 of file basecorrelationquote.hpp.

{ notifyObservers(); }

Member Data Documentation

bcts_

Handle<QuantExt::BaseCorrelationTermStructure> bcts_

private

Definition at line 59 of file basecorrelationquote.hpp.

term_

Period term_

private

Definition at line 60 of file basecorrelationquote.hpp.

lossLevel_

Real lossLevel_

private

Definition at line 61 of file basecorrelationquote.hpp.

extrapolate_

bool extrapolate_

private

Definition at line 62 of file basecorrelationquote.hpp.