SpreadedCorrelationCurve Class Reference

Spreaded Correlation Curve. More...

#include <qle/termstructures/spreadedcorrelationcurve.hpp>

Inheritance diagram for SpreadedCorrelationCurve:

Collaboration diagram for SpreadedCorrelationCurve:

Public Member Functions
	SpreadedCorrelationCurve (const Handle< CorrelationTermStructure > &referenceCorrelation, const std::vector< Time > &times, const std::vector< Handle< Quote > > &corrSpreads, const bool useAtmReferenceVolsOnly=false)
Date	maxDate () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
Time	minTime () const override
	The minimum time for which the curve can return values. More...
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

Private Member Functions
Real	correlationImpl (Time t, Real strike) const override
	Correlation calculation. More...
void	performCalculations () const override

Private Attributes
Handle< CorrelationTermStructure >	referenceCorrelation_
std::vector< Time >	times_
std::vector< Handle< Quote > >	corrSpreads_
bool	useAtmReferenceCorrsOnly_
std::vector< Real >	data_
QuantLib::ext::shared_ptr< Interpolation >	interpolation_

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

Spreaded Correlation Curve.

Definition at line 34 of file spreadedcorrelationcurve.hpp.

Constructor & Destructor Documentation

SpreadedCorrelationCurve()

SpreadedCorrelationCurve	(	const Handle< CorrelationTermStructure > &	referenceCorrelation,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	corrSpreads,
		const bool	useAtmReferenceVolsOnly = false
	)

• times should be consistent with reference ts day counter
• if useAtmReferenceCorrsOnly, only corrs with strike Null<Real>() are read from the referenceVol, otherwise the full reference vol surface (if it is one) is used

Definition at line 26 of file spreadedcorrelationcurve.cpp.

    : CorrelationTermStructure(referenceCorrelation->dayCounter()), referenceCorrelation_(referenceCorrelation),
      times_(times), corrSpreads_(corrSpreads), useAtmReferenceCorrsOnly_(useAtmReferenceCorrsOnly) {
    QL_REQUIRE(!times_.empty(), "SpreadedCorrelationCurve: times are empty");
    QL_REQUIRE(times_.size() == corrSpreads_.size(),
               "SpreadedCorrelationCurve: size of times and quote vectors do not match");
    if (times.size() == 1) {
        times_.push_back(times_.back() + 1.0);
        corrSpreads_.push_back(corrSpreads_.back());
    }
    data_.resize(times_.size(), 1.0);
    for (auto const& q : corrSpreads_)
        registerWith(q);
    interpolation_ = QuantLib::ext::make_shared<FlatExtrapolation>(
        QuantLib::ext::make_shared<LinearInterpolation>(times_.begin(), times_.end(), data_.begin()));
    interpolation_->enableExtrapolation();
    registerWith(referenceCorrelation_);
}

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 48 of file spreadedcorrelationcurve.cpp.

{ return referenceCorrelation_->maxDate(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 49 of file spreadedcorrelationcurve.cpp.

{ return referenceCorrelation_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 50 of file spreadedcorrelationcurve.cpp.

{ return referenceCorrelation_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 51 of file spreadedcorrelationcurve.cpp.

{ return referenceCorrelation_->settlementDays(); }

minTime()

Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from CorrelationTermStructure.

Definition at line 52 of file spreadedcorrelationcurve.cpp.

{ return referenceCorrelation_->minTime(); }

update()

void update ( )

override

Definition at line 54 of file spreadedcorrelationcurve.cpp.

                                      {
    LazyObject::update();
    CorrelationTermStructure::update();
}

correlationImpl()

Real correlationImpl ( Time  t, Real  strike  ) const

overrideprivatevirtual

Correlation calculation.

Implements CorrelationTermStructure.

Definition at line 59 of file spreadedcorrelationcurve.cpp.

                                                                        {
    calculate();
    return referenceCorrelation_->correlation(t, useAtmReferenceCorrsOnly_ ? Null<Real>() : strike) +
           (*interpolation_)(t);
}

performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 65 of file spreadedcorrelationcurve.cpp.

                                                         {
    for (Size i = 0; i < times_.size(); ++i) {
        QL_REQUIRE(!corrSpreads_[i].empty(), "SpreadedCorrelationCurve: quote at index " << i << " is empty");
        data_[i] = corrSpreads_[i]->value();
    }
    interpolation_->update();
}

Member Data Documentation

referenceCorrelation_

Handle<CorrelationTermStructure> referenceCorrelation_

private

Definition at line 56 of file spreadedcorrelationcurve.hpp.

times_

std::vector<Time> times_

private

Definition at line 57 of file spreadedcorrelationcurve.hpp.

corrSpreads_

std::vector<Handle<Quote> > corrSpreads_

private

Definition at line 58 of file spreadedcorrelationcurve.hpp.

useAtmReferenceCorrsOnly_

bool useAtmReferenceCorrsOnly_

private

Definition at line 59 of file spreadedcorrelationcurve.hpp.

data_

std::vector<Real> data_

mutableprivate

Definition at line 60 of file spreadedcorrelationcurve.hpp.

interpolation_

QuantLib::ext::shared_ptr<Interpolation> interpolation_

private

Definition at line 61 of file spreadedcorrelationcurve.hpp.