Wrapper class that extracts a value at a given time from the term structure. More...

#include <qle/termstructures/correlationtermstructure.hpp>

Inheritance diagram for CorrelationValue:

Collaboration diagram for CorrelationValue:

Public Member Functions
	CorrelationValue (const Handle< CorrelationTermStructure > &correlation, const Time t, const Real strike=Null< Real >())

Real	value () const override

bool	isValid () const override

void	update () override

Private Attributes
Handle< CorrelationTermStructure >	correlation_

const Time	t_

const Real	strike_

Detailed Description

Wrapper class that extracts a value at a given time from the term structure.

Definition at line 87 of file correlationtermstructure.hpp.

Constructor & Destructor Documentation

◆ CorrelationValue()

CorrelationValue	(	const Handle< CorrelationTermStructure > &	correlation,
		const Time	t,
		const Real	strike = `Null<Real>()`
	)

Definition at line 70 of file correlationtermstructure.cpp.

    : correlation_(correlation), t_(t), strike_(strike) {
    registerWith(correlation_);
}

Member Function Documentation

◆ value()

Real value ( ) const

override

Definition at line 75 of file correlationtermstructure.cpp.

                                   {
    QL_REQUIRE(!correlation_.empty(), "no source correlation term structure given");
    return correlation_->correlation(t_, strike_);
}