QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.hpp>
Public Member Functions | |
TimeHomogeneousForwardCorrelation (const Matrix &fwdCorrelation, const std::vector< Time > &rateTimes) | |
const std::vector< Time > & | times () const override |
const std::vector< Time > & | rateTimes () const override |
const std::vector< Matrix > & | correlations () const override |
Size | numberOfRates () const override |
Public Member Functions inherited from PiecewiseConstantCorrelation | |
virtual | ~PiecewiseConstantCorrelation ()=default |
virtual const std::vector< Time > & | times () const =0 |
virtual const std::vector< Time > & | rateTimes () const =0 |
virtual const std::vector< Matrix > & | correlations () const =0 |
virtual const Matrix & | correlation (Size i) const |
virtual Size | numberOfRates () const =0 |
Static Public Member Functions | |
static std::vector< Matrix > | evolvedMatrices (const Matrix &fwdCorrelation) |
Private Attributes | |
Size | numberOfRates_ |
Matrix | fwdCorrelation_ |
std::vector< Time > | rateTimes_ |
std::vector< Time > | times_ |
std::vector< Matrix > | correlations_ |
Definition at line 30 of file timehomogeneousforwardcorrelation.hpp.
TimeHomogeneousForwardCorrelation | ( | const Matrix & | fwdCorrelation, |
const std::vector< Time > & | rateTimes | ||
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Definition at line 28 of file timehomogeneousforwardcorrelation.cpp.
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overridevirtual |
Implements PiecewiseConstantCorrelation.
Definition at line 72 of file timehomogeneousforwardcorrelation.cpp.
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overridevirtual |
Implements PiecewiseConstantCorrelation.
Definition at line 77 of file timehomogeneousforwardcorrelation.cpp.
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overridevirtual |
Implements PiecewiseConstantCorrelation.
Definition at line 82 of file timehomogeneousforwardcorrelation.cpp.
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overridevirtual |
Implements PiecewiseConstantCorrelation.
Definition at line 86 of file timehomogeneousforwardcorrelation.cpp.
Definition at line 50 of file timehomogeneousforwardcorrelation.cpp.
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private |
Definition at line 42 of file timehomogeneousforwardcorrelation.hpp.
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private |
Definition at line 43 of file timehomogeneousforwardcorrelation.hpp.
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private |
Definition at line 44 of file timehomogeneousforwardcorrelation.hpp.
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private |
Definition at line 44 of file timehomogeneousforwardcorrelation.hpp.
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private |
Definition at line 45 of file timehomogeneousforwardcorrelation.hpp.