24#ifndef quantlib_exp_corr_flat_vol_hpp
25#define quantlib_exp_corr_flat_vol_hpp
37 class PiecewiseConstantCorrelation;
42 const std::vector<Volatility>& volatilities,
43 const ext::shared_ptr<PiecewiseConstantCorrelation>& corr,
75 std::vector<Time> times,
76 std::vector<Volatility> vols,
82 Size numberOfFactors)
const override;
125 "the index " << i <<
" is invalid: it must be less than "
Market-model evolution description.
Real longTermCorrelation_
Interpolation volatility_
std::vector< Time > times_
std::vector< Volatility > vols_
Handle< YieldTermStructure > yieldCurve_
ext::shared_ptr< MarketModel > create(const EvolutionDescription &, Size numberOfFactors) const override
const std::vector< Spread > & displacements() const override
std::vector< Spread > displacements_
const std::vector< Rate > & initialRates() const override
std::vector< Matrix > pseudoRoots_
const Matrix & pseudoRoot(Size i) const override
std::vector< Rate > initialRates_
const EvolutionDescription & evolution() const override
EvolutionDescription evolution_
Size numberOfFactors() const override
Size numberOfRates() const override
Size numberOfSteps() const override
Shared handle to an observable.
base class for 1-D interpolations.
base class for market-model factories
base class for market models
Matrix used in linear algebra.
Object that gets notified when a given observable changes.
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Real Spread
spreads on interest rates
std::size_t Size
size of a container
Globally accessible relinkable pointer.
base class for 1-D interpolations
matrix used in linear algebra.
Interest-rate term structure.