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CorrelationTermStructure Class Referenceabstract

#include <ql/experimental/credit/correlationstructure.hpp>

+ Inheritance diagram for CorrelationTermStructure:
+ Collaboration diagram for CorrelationTermStructure:

Constructors

See the TermStructure documentation for issues regarding constructors.

BusinessDayConvention bdc_
 
 CorrelationTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 default constructor More...
 
 CorrelationTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 CorrelationTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
BusinessDayConvention businessDayConvention () const
 
Date dateFromTenor (const Period &) const
 period/date conversion More...
 
virtual Size correlationSize () const =0
 The size of the squared correlation. More...
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Public Member Functions inherited from TermStructure
 TermStructure (DayCounter dc=DayCounter())
 default constructor More...
 
 TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
 initialize with a fixed reference date More...
 
 TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~TermStructure () override=default
 
virtual DayCounter dayCounter () const
 the day counter used for date/time conversion More...
 
Time timeFromReference (const Date &date) const
 date/time conversion More...
 
virtual Date maxDate () const =0
 the latest date for which the curve can return values More...
 
virtual Time maxTime () const
 the latest time for which the curve can return values More...
 
virtual const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0 More...
 
virtual Calendar calendar () const
 the calendar used for reference and/or option date calculation More...
 
virtual Natural settlementDays () const
 the settlementDays used for reference date calculation More...
 
void update () override
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Extrapolator
 Extrapolator ()=default
 
virtual ~Extrapolator ()=default
 
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls More...
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls More...
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled More...
 
- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check More...
 
void checkRange (Time t, bool extrapolate) const
 time-range check More...
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 

Detailed Description

Abstract interface, derived correlations TS might have elements with arbitrary dimensions.

In principle there might be several extrapolation dimensions, at this level we do not know how many or the nature of those dimensions (time, strike...) Equally we ignore at this level if the correlation is a number, matrix. Rather than including an arbitrary size matrix this data structure is deferred in the hierarchy to enable potential optimizations on the data nature.

Definition at line 40 of file correlationstructure.hpp.

Constructor & Destructor Documentation

◆ CorrelationTermStructure() [1/3]

CorrelationTermStructure ( const Calendar cal,
BusinessDayConvention  bdc,
const DayCounter dc = DayCounter() 
)

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Definition at line 24 of file correlationstructure.cpp.

◆ CorrelationTermStructure() [2/3]

CorrelationTermStructure ( const Date referenceDate,
const Calendar cal,
BusinessDayConvention  bdc,
const DayCounter dc = DayCounter() 
)

initialize with a fixed reference date

◆ CorrelationTermStructure() [3/3]

CorrelationTermStructure ( Natural  settlementDays,
const Calendar cal,
BusinessDayConvention  bdc,
const DayCounter dc = DayCounter() 
)

calculate the reference date based on the global evaluation date

Definition at line 32 of file correlationstructure.cpp.

Member Function Documentation

◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

Definition at line 77 of file correlationstructure.hpp.

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◆ dateFromTenor()

Date dateFromTenor ( const Period p) const

period/date conversion

Definition at line 82 of file correlationstructure.hpp.

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◆ correlationSize()

virtual Size correlationSize ( ) const
pure virtual

The size of the squared correlation.

Implemented in BaseCorrelationTermStructure< Interpolator2D_T >.

Member Data Documentation

◆ bdc_

BusinessDayConvention bdc_
private

Definition at line 72 of file correlationstructure.hpp.