interpolatedcorrelationcurve.hpp File Reference

interpolated correlation term structure More...

#include <ql/math/interpolations/backwardflatinterpolation.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/interpolatedcurve.hpp>
#include <qle/termstructures/correlationtermstructure.hpp>

Go to the source code of this file.

Classes
class	InterpolatedCorrelationCurve< Interpolator >
	CorrelationTermStructure based on interpolation of correlations. More...

Namespaces
namespace	QuantExt

Typedefs
typedef InterpolatedCorrelationCurve< BackwardFlat >	BackwardFlatCorrelationCurve
typedef InterpolatedCorrelationCurve< Linear >	PiecewiseLinearCorrelationCurve

Detailed Description

interpolated correlation term structure

Definition in file interpolatedcorrelationcurve.hpp.