InterpolatedCorrelationCurve< Interpolator > Class Template Reference

CorrelationTermStructure based on interpolation of correlations. More...

#include <qle/termstructures/interpolatedcorrelationcurve.hpp>

Inheritance diagram for InterpolatedCorrelationCurve< Interpolator >:

Collaboration diagram for InterpolatedCorrelationCurve< Interpolator >:

Public Member Functions
	InterpolatedCorrelationCurve (const std::vector< Time > &times, const std::vector< Handle< Quote > > &correlations, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator=Interpolator())
TermStructure interface
Date	maxDate () const override
Time	maxTime () const override
Observer interface
void	update () override
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...

Private Member Functions
LazyObject interface
void	performCalculations () const override

CorrelationTermStructure implementation
std::vector< Handle< Quote > >	quotes_
Real	correlationImpl (Time t, 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

template<class Interpolator>
class QuantExt::InterpolatedCorrelationCurve< Interpolator >

CorrelationTermStructure based on interpolation of correlations.

Definition at line 38 of file interpolatedcorrelationcurve.hpp.

Constructor & Destructor Documentation

InterpolatedCorrelationCurve()

InterpolatedCorrelationCurve	(	const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	correlations,
		const DayCounter &	dayCounter,
		const Calendar &	calendar,
		const Interpolator &	interpolator = Interpolator()
	)

InterpolatedCorrelationCurve has floating referenceDate (Settings::evaluationDate())

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 50 of file interpolatedcorrelationcurve.hpp.

{ return Date::maxDate(); } // flat extrapolation

maxTime()

Time maxTime ( ) const

override

Definition at line 51 of file interpolatedcorrelationcurve.hpp.

{ return QL_MAX_REAL; }

update()

void update ( )

override

performCalculations()

void performCalculations ( ) const

overrideprivate

correlationImpl()

Real correlationImpl ( Time  t, Real  strike  ) const

overrideprotectedvirtual

Correlation calculation.

Implements CorrelationTermStructure.

Member Data Documentation

quotes_

std::vector<Handle<Quote> > quotes_

protected

Definition at line 67 of file interpolatedcorrelationcurve.hpp.