Flat correlation structure. More...

#include <qle/termstructures/flatcorrelation.hpp>

Inheritance diagram for FlatCorrelation:

Collaboration diagram for FlatCorrelation:

Public Member Functions
Constructors
	FlatCorrelation (const Date &referenceDate, const Handle< Quote > &correlation, const DayCounter &)

	FlatCorrelation (const Date &referenceDate, Real correlation, const DayCounter &)

	FlatCorrelation (Natural settlementDays, const Calendar &calendar, const Handle< Quote > &correlation, const DayCounter &)

	FlatCorrelation (Natural settlementDays, const Calendar &calendar, Real correlation, const DayCounter &)

TermStructure interface
Date	maxDate () const override

Time	maxTime () const override

Inspectors
const Handle< Quote > &	quote () const

Public Member Functions inherited from CorrelationTermStructure
	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())

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...

CorrelationTermStructure interface
Handle< Quote >	correlation_

Real	correlationImpl (Time, Real) const override
	Correlation calculation. More...

Additional Inherited Members
Protected Member Functions inherited from CorrelationTermStructure
virtual void	checkRange (Time t, Real strike, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange. More...

Detailed Description

Flat correlation structure.

Definition at line 37 of file flatcorrelation.hpp.

Constructor & Destructor Documentation

◆ FlatCorrelation() [1/4]

FlatCorrelation	(	const Date &	referenceDate,
		const Handle< Quote > &	correlation,
		const DayCounter &	dayCounter
	)

Definition at line 26 of file flatcorrelation.cpp.

    : CorrelationTermStructure(referenceDate, NullCalendar(), dayCounter), correlation_(correlation) {
    registerWith(correlation_);
}

◆ FlatCorrelation() [2/4]

FlatCorrelation	(	const Date &	referenceDate,
		Real	correlation,
		const DayCounter &	dayCounter
	)

Definition at line 32 of file flatcorrelation.cpp.

33 : CorrelationTermStructure(referenceDate, NullCalendar(), dayCounter),

34 correlation_(QuantLib::ext::shared_ptr<Quote>(new SimpleQuote(correlation))) {}

◆ FlatCorrelation() [3/4]

FlatCorrelation	(	Natural	settlementDays,
		const Calendar &	calendar,
		const Handle< Quote > &	correlation,
		const DayCounter &	dayCounter
	)

Definition at line 36 of file flatcorrelation.cpp.

    : CorrelationTermStructure(settlementDays, calendar, dayCounter), correlation_(correlation) {
    registerWith(correlation_);
}

◆ FlatCorrelation() [4/4]

FlatCorrelation	(	Natural	settlementDays,
		const Calendar &	calendar,
		Real	correlation,
		const DayCounter &	dayCounter
	)

Definition at line 42 of file flatcorrelation.cpp.

44 : CorrelationTermStructure(settlementDays, calendar, dayCounter),

45 correlation_(QuantLib::ext::shared_ptr<Quote>(new SimpleQuote(correlation))) {}

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 49 of file flatcorrelation.hpp.

49{ return Date::maxDate(); }

◆ maxTime()

Time maxTime ( ) const

override

Definition at line 50 of file flatcorrelation.hpp.

50{ return QL_MAX_REAL; }

◆ quote()

const Handle< Quote > & quote ( ) const

Definition at line 54 of file flatcorrelation.hpp.

54{ return correlation_; }

◆ correlationImpl()

Real correlationImpl	(	Time	t,
		Real	strike
	)		const

overrideprivatevirtual

Correlation calculation.

Implements CorrelationTermStructure.

Definition at line 60 of file flatcorrelation.hpp.

60{ return correlation_->value(); }

Member Data Documentation

◆ correlation_

Handle<Quote> correlation_

private

Definition at line 63 of file flatcorrelation.hpp.

Public Member Functions

CorrelationTermStructure interface

Additional Inherited Members