QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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timehomogeneousforwardcorrelation.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Ferdinando Ametrano
5 Copyright (C) 2007 Mark Joshi
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21#ifndef quantlib_time_homogeneous_forward_correlation_hpp
22#define quantlib_time_homogeneous_forward_correlation_hpp
23
25#include <ql/math/matrix.hpp>
26#include <vector>
27
28namespace QuantLib {
29
32 public:
33 TimeHomogeneousForwardCorrelation(const Matrix& fwdCorrelation,
34 const std::vector<Time>& rateTimes);
35 const std::vector<Time>& times() const override;
36 const std::vector<Time>& rateTimes() const override;
37 const std::vector<Matrix>& correlations() const override;
38 Size numberOfRates() const override;
39 static std::vector<Matrix> evolvedMatrices(
40 const Matrix& fwdCorrelation);
41 private:
44 std::vector<Time> rateTimes_, times_;
45 std::vector<Matrix> correlations_;
46 };
47
48}
49
50#endif
Matrix used in linear algebra.
Definition: matrix.hpp:41
const std::vector< Time > & rateTimes() const override
const std::vector< Time > & times() const override
static std::vector< Matrix > evolvedMatrices(const Matrix &fwdCorrelation)
const std::vector< Matrix > & correlations() const override
std::size_t Size
size of a container
Definition: types.hpp:58
matrix used in linear algebra.
Definition: any.hpp:35