QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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correlationstructure.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Jose Aparicio
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
21
22namespace QuantLib {
23
25 const Calendar& cal,
27 const DayCounter& dc)
28 : TermStructure(dc), bdc_(bdc){
29 calendar_ = cal;
30 }
31
33 Natural settlementDays,
34 const Calendar& cal,
36 const DayCounter& dc)
37 : TermStructure(settlementDays, cal, dc), bdc_(bdc){ }
38
39}
calendar class
Definition: calendar.hpp:61
CorrelationTermStructure(const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
default constructor
day counter class
Definition: daycounter.hpp:44
Basic term-structure functionality.
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Definition: any.hpp:35