#include <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 Date &	referenceDate () 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 &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (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 &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (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.

Constructors

Additional Inherited Members