QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
models
marketmodels
correlations
timehomogeneousforwardcorrelation.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2007 Ferdinando Ametrano
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Copyright (C) 2007 Mark Joshi
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_time_homogeneous_forward_correlation_hpp
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#define quantlib_time_homogeneous_forward_correlation_hpp
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#include <
ql/models/marketmodels/piecewiseconstantcorrelation.hpp
>
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#include <
ql/math/matrix.hpp
>
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#include <vector>
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namespace
QuantLib
{
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class
TimeHomogeneousForwardCorrelation
:
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public
PiecewiseConstantCorrelation
{
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public
:
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TimeHomogeneousForwardCorrelation
(
const
Matrix
& fwdCorrelation,
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const
std::vector<Time>&
rateTimes
);
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const
std::vector<Time>&
times
()
const override
;
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const
std::vector<Time>&
rateTimes
()
const override
;
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const
std::vector<Matrix>&
correlations
()
const override
;
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Size
numberOfRates
()
const override
;
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static
std::vector<Matrix>
evolvedMatrices
(
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const
Matrix
& fwdCorrelation);
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private
:
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Size
numberOfRates_
;
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Matrix
fwdCorrelation_
;
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std::vector<Time>
rateTimes_
,
times_
;
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std::vector<Matrix>
correlations_
;
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};
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}
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#endif
QuantLib::Matrix
Matrix used in linear algebra.
Definition:
matrix.hpp:41
QuantLib::PiecewiseConstantCorrelation
Definition:
piecewiseconstantcorrelation.hpp:32
QuantLib::TimeHomogeneousForwardCorrelation
Definition:
timehomogeneousforwardcorrelation.hpp:31
QuantLib::TimeHomogeneousForwardCorrelation::rateTimes
const std::vector< Time > & rateTimes() const override
Definition:
timehomogeneousforwardcorrelation.cpp:77
QuantLib::TimeHomogeneousForwardCorrelation::times
const std::vector< Time > & times() const override
Definition:
timehomogeneousforwardcorrelation.cpp:72
QuantLib::TimeHomogeneousForwardCorrelation::times_
std::vector< Time > times_
Definition:
timehomogeneousforwardcorrelation.hpp:44
QuantLib::TimeHomogeneousForwardCorrelation::rateTimes_
std::vector< Time > rateTimes_
Definition:
timehomogeneousforwardcorrelation.hpp:44
QuantLib::TimeHomogeneousForwardCorrelation::evolvedMatrices
static std::vector< Matrix > evolvedMatrices(const Matrix &fwdCorrelation)
Definition:
timehomogeneousforwardcorrelation.cpp:50
QuantLib::TimeHomogeneousForwardCorrelation::correlations
const std::vector< Matrix > & correlations() const override
Definition:
timehomogeneousforwardcorrelation.cpp:82
QuantLib::TimeHomogeneousForwardCorrelation::numberOfRates_
Size numberOfRates_
Definition:
timehomogeneousforwardcorrelation.hpp:42
QuantLib::TimeHomogeneousForwardCorrelation::fwdCorrelation_
Matrix fwdCorrelation_
Definition:
timehomogeneousforwardcorrelation.hpp:43
QuantLib::TimeHomogeneousForwardCorrelation::numberOfRates
Size numberOfRates() const override
Definition:
timehomogeneousforwardcorrelation.cpp:86
QuantLib::TimeHomogeneousForwardCorrelation::correlations_
std::vector< Matrix > correlations_
Definition:
timehomogeneousforwardcorrelation.hpp:45
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
matrix.hpp
matrix used in linear algebra.
QuantLib
Definition:
any.hpp:35
piecewiseconstantcorrelation.hpp
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