QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
credit
correlationstructure.cpp
Go to the documentation of this file.
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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) 2014 Jose Aparicio
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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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#include <
ql/experimental/credit/correlationstructure.hpp
>
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namespace
QuantLib
{
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CorrelationTermStructure::CorrelationTermStructure
(
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const
Calendar
& cal,
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BusinessDayConvention
bdc,
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const
DayCounter
& dc)
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:
TermStructure
(dc), bdc_(bdc){
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calendar_
= cal;
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}
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CorrelationTermStructure::CorrelationTermStructure
(
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Natural
settlementDays,
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const
Calendar
& cal,
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BusinessDayConvention
bdc,
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const
DayCounter
& dc)
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:
TermStructure
(settlementDays, cal, dc), bdc_(bdc){ }
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}
QuantLib::Calendar
calendar class
Definition:
calendar.hpp:61
QuantLib::CorrelationTermStructure::CorrelationTermStructure
CorrelationTermStructure(const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
default constructor
Definition:
correlationstructure.cpp:24
QuantLib::DayCounter
day counter class
Definition:
daycounter.hpp:44
QuantLib::TermStructure
Basic term-structure functionality.
Definition:
termstructure.hpp:39
QuantLib::TermStructure::calendar_
Calendar calendar_
Definition:
termstructure.hpp:106
correlationstructure.hpp
QuantLib::BusinessDayConvention
BusinessDayConvention
Business Day conventions.
Definition:
businessdayconvention.hpp:41
QuantLib::Natural
unsigned QL_INTEGER Natural
positive integer
Definition:
types.hpp:43
QuantLib
Definition:
any.hpp:35
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