HistoricalForwardRatesAnalysisImpl< Traits, Interpolator > Class Template Reference

Historical correlation class More...

#include <ql/models/marketmodels/historicalforwardratesanalysis.hpp>

Inheritance diagram for HistoricalForwardRatesAnalysisImpl< Traits, Interpolator >:

Collaboration diagram for HistoricalForwardRatesAnalysisImpl< Traits, Interpolator >:

Public Member Functions
	HistoricalForwardRatesAnalysisImpl (ext::shared_ptr< SequenceStatistics > stats, const Date &startDate, const Date &endDate, const Period &step, const ext::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< ext::shared_ptr< IborIndex > > &iborIndexes, const std::vector< ext::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy)
	HistoricalForwardRatesAnalysisImpl ()=default
const std::vector< Date > &	skippedDates () const override
const std::vector< std::string > &	skippedDatesErrorMessage () const override
const std::vector< Date > &	failedDates () const override
const std::vector< std::string > &	failedDatesErrorMessage () const override
const std::vector< Period > &	fixingPeriods () const override
Public Member Functions inherited from HistoricalForwardRatesAnalysis
virtual	~HistoricalForwardRatesAnalysis ()=default
virtual const std::vector< Date > &	skippedDates () const =0
virtual const std::vector< std::string > &	skippedDatesErrorMessage () const =0
virtual const std::vector< Date > &	failedDates () const =0
virtual const std::vector< std::string > &	failedDatesErrorMessage () const =0
virtual const std::vector< Period > &	fixingPeriods () const =0

Private Attributes
ext::shared_ptr< SequenceStatistics >	stats_
std::vector< Date >	skippedDates_
std::vector< std::string >	skippedDatesErrorMessage_
std::vector< Date >	failedDates_
std::vector< std::string >	failedDatesErrorMessage_
std::vector< Period >	fixingPeriods_

Detailed Description

template<class Traits, class Interpolator>
class QuantLib::HistoricalForwardRatesAnalysisImpl< Traits, Interpolator >

Historical correlation class

Definition at line 209 of file historicalforwardratesanalysis.hpp.

Constructor & Destructor Documentation

HistoricalForwardRatesAnalysisImpl() [1/2]

HistoricalForwardRatesAnalysisImpl	(	ext::shared_ptr< SequenceStatistics >	stats,
		const Date &	startDate,
		const Date &	endDate,
		const Period &	step,
		const ext::shared_ptr< InterestRateIndex > &	fwdIndex,
		const Period &	initialGap,
		const Period &	horizon,
		const std::vector< ext::shared_ptr< IborIndex > > &	iborIndexes,
		const std::vector< ext::shared_ptr< SwapIndex > > &	swapIndexes,
		const DayCounter &	yieldCurveDayCounter,
		Real	yieldCurveAccuracy
	)

Definition at line 277 of file historicalforwardratesanalysis.hpp.

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HistoricalForwardRatesAnalysisImpl() [2/2]

HistoricalForwardRatesAnalysisImpl ( )

default

Member Function Documentation

skippedDates()

const std::vector< Date > & skippedDates

overridevirtual

Implements HistoricalForwardRatesAnalysis.

Definition at line 250 of file historicalforwardratesanalysis.hpp.

skippedDatesErrorMessage()

const std::vector< std::string > & skippedDatesErrorMessage

overridevirtual

Implements HistoricalForwardRatesAnalysis.

Definition at line 256 of file historicalforwardratesanalysis.hpp.

failedDates()

const std::vector< Date > & failedDates

overridevirtual

Implements HistoricalForwardRatesAnalysis.

Definition at line 262 of file historicalforwardratesanalysis.hpp.

failedDatesErrorMessage()

const std::vector< std::string > & failedDatesErrorMessage

overridevirtual

Implements HistoricalForwardRatesAnalysis.

Definition at line 268 of file historicalforwardratesanalysis.hpp.

fixingPeriods()

const std::vector< Period > & fixingPeriods

overridevirtual

Implements HistoricalForwardRatesAnalysis.

Definition at line 244 of file historicalforwardratesanalysis.hpp.

Member Data Documentation

stats_

ext::shared_ptr<SequenceStatistics> stats_

private

Definition at line 233 of file historicalforwardratesanalysis.hpp.

skippedDates_

std::vector<Date> skippedDates_

private

Definition at line 234 of file historicalforwardratesanalysis.hpp.

skippedDatesErrorMessage_

std::vector<std::string> skippedDatesErrorMessage_

private

Definition at line 235 of file historicalforwardratesanalysis.hpp.

failedDates_

std::vector<Date> failedDates_

private

Definition at line 236 of file historicalforwardratesanalysis.hpp.

failedDatesErrorMessage_

std::vector<std::string> failedDatesErrorMessage_

private

Definition at line 237 of file historicalforwardratesanalysis.hpp.

fixingPeriods_

std::vector<Period> fixingPeriods_

private

Definition at line 238 of file historicalforwardratesanalysis.hpp.