NegativeCorrelationTermStructure Class Reference

Wrapper class that inverts the correlation. More...

#include <qle/termstructures/correlationtermstructure.hpp>

Inheritance diagram for NegativeCorrelationTermStructure:

Collaboration diagram for NegativeCorrelationTermStructure:

Public Member Functions
	NegativeCorrelationTermStructure (const Handle< CorrelationTermStructure > &c)
Date	maxDate () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const 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
virtual Real	correlationImpl (Time t, Real strike) const override
	Correlation calculation. More...

Private Attributes
Handle< CorrelationTermStructure >	c_

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

Wrapper class that inverts the correlation.

Definition at line 73 of file correlationtermstructure.hpp.

Constructor & Destructor Documentation

NegativeCorrelationTermStructure()

NegativeCorrelationTermStructure

(

const Handle< CorrelationTermStructure > &

c

)

Definition at line 61 of file correlationtermstructure.cpp.

    : CorrelationTermStructure(c->dayCounter()), c_(c) {
    registerWith(c_);
}

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 76 of file correlationtermstructure.hpp.

{ return c_->maxDate(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 77 of file correlationtermstructure.hpp.

{ return c_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 78 of file correlationtermstructure.hpp.

{ return c_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 79 of file correlationtermstructure.hpp.

{ return c_->settlementDays(); }

correlationImpl()

Real correlationImpl ( Time  t, Real  strike  ) const

overrideprivatevirtual

Correlation calculation.

Implements CorrelationTermStructure.

Definition at line 66 of file correlationtermstructure.cpp.

                                                                                {
    return -c_->correlation(t, strike);
}

Member Data Documentation

c_

Handle<CorrelationTermStructure> c_

private

Definition at line 83 of file correlationtermstructure.hpp.