CorrelationTermStructure Class Reference

Correlation term structure. More...

#include <qle/termstructures/correlationtermstructure.hpp>

Inheritance diagram for CorrelationTermStructure:

Collaboration diagram for CorrelationTermStructure:

Public Member Functions
Constructors
	CorrelationTermStructure (const DayCounter &dc=DayCounter())
	CorrelationTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())
	CorrelationTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())
Correlations
Real	correlation (Time t, Real strike=Null< Real >(), bool extrapolate=false) const
Real	correlation (const Date &d, Real strike=Null< Real >(), bool extrapolate=false) const
virtual Time	minTime () const
	The minimum time for which the curve can return values. More...

Protected Member Functions
Calculations
This method must be implemented in derived classes to perform the actual calculations.
virtual Real	correlationImpl (Time t, Real strike) const =0
	Correlation calculation. More...
virtual void	checkRange (Time t, Real strike, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange. More...

Detailed Description

Correlation term structure.

This abstract class defines the interface of concrete correlation term structures which will be derived from this one.

Definition at line 39 of file correlationtermstructure.hpp.

Constructor & Destructor Documentation

CorrelationTermStructure() [1/3]

CorrelationTermStructure

(

const DayCounter &

dc = DayCounter()

)

Definition at line 25 of file correlationtermstructure.cpp.

: TermStructure(dc) {}

CorrelationTermStructure() [2/3]

CorrelationTermStructure	(	const Date &	referenceDate,
		const Calendar &	cal = Calendar(),
		const DayCounter &	dc = DayCounter()
	)

Definition at line 27 of file correlationtermstructure.cpp.

    : TermStructure(referenceDate, cal, dc) {}

CorrelationTermStructure() [3/3]

CorrelationTermStructure	(	Natural	settlementDays,
		const Calendar &	cal,
		const DayCounter &	dc = DayCounter()
	)

Definition at line 30 of file correlationtermstructure.cpp.

    : TermStructure(settlementDays, cal, dc) {}

Member Function Documentation

correlation() [1/2]

Real correlation	(	Time	t,
		Real	strike = Null<Real>(),
		bool	extrapolate = false
	)		const

Definition at line 33 of file correlationtermstructure.cpp.

                                                                                      {
    checkRange(t, strike, extrapolate);
 
    // Fail if correlation is negative
    Real correlation = correlationImpl(t, strike);
    QL_REQUIRE(correlation >= -1 && correlation <= 1,
               "Correlation returned from CorrelationTermStructure must be between -1 and 1 (" << correlation << ")");
 
    return correlation;
}

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correlation() [2/2]

Real correlation	(	const Date &	d,
		Real	strike = Null<Real>(),
		bool	extrapolate = false
	)		const

Definition at line 44 of file correlationtermstructure.cpp.

                                                                                             {
    return correlation(timeFromReference(d), strike, extrapolate);
}

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minTime()

Time minTime ( ) const

virtual

The minimum time for which the curve can return values.

Reimplemented in BaseCorrelationTermStructure, SpreadedBaseCorrelationCurve, and SpreadedCorrelationCurve.

Definition at line 48 of file correlationtermstructure.cpp.

                                             {
    // Default implementation
    return 0.0;
}

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correlationImpl()

virtual Real correlationImpl ( Time  t, Real  strike  ) const

protectedpure virtual

Correlation calculation.

Implemented in InterpolatedBaseCorrelationTermStructure< Interpolator >, NegativeCorrelationTermStructure, SpreadedBaseCorrelationCurve, SpreadedCorrelationCurve, InterpolatedCorrelationCurve< Interpolator >, and FlatCorrelation.

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checkRange()

void checkRange ( Time  t, Real  strike, bool  extrapolate  ) const

protectedvirtual

Extra time range check for minimum time, then calls TermStructure::checkRange.

Reimplemented in BaseCorrelationTermStructure.

Definition at line 53 of file correlationtermstructure.cpp.

                                                                                      {
    QL_REQUIRE(extrapolate || allowsExtrapolation() || t >= minTime() || close_enough(t, minTime()),
               "time (" << t << ") is before min curve time (" << minTime() << ")");
 
    // Now, do the usual TermStructure checks
    TermStructure::checkRange(t, extrapolate);
}

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