correlationtermstructure.hpp File Reference

Term structure of correlations. More...

#include <ql/math/comparison.hpp>
#include <ql/quote.hpp>
#include <ql/termstructure.hpp>

Go to the source code of this file.

Classes
class	CorrelationTermStructure
	Correlation term structure. More...
class	NegativeCorrelationTermStructure
	Wrapper class that inverts the correlation. More...
class	CorrelationValue
	Wrapper class that extracts a value at a given time from the term structure. More...

Namespaces
namespace	QuantExt

Detailed Description

Term structure of correlations.

Definition in file correlationtermstructure.hpp.