QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Static Public Member Functions | Private Attributes | List of all members
TimeHomogeneousForwardCorrelation Class Reference

#include <ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.hpp>

+ Inheritance diagram for TimeHomogeneousForwardCorrelation:
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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 Matrixcorrelation (Size i) const
 
virtual Size numberOfRates () const =0
 

Static Public Member Functions

static std::vector< MatrixevolvedMatrices (const Matrix &fwdCorrelation)
 

Private Attributes

Size numberOfRates_
 
Matrix fwdCorrelation_
 
std::vector< TimerateTimes_
 
std::vector< Timetimes_
 
std::vector< Matrixcorrelations_
 

Detailed Description

Definition at line 30 of file timehomogeneousforwardcorrelation.hpp.

Constructor & Destructor Documentation

◆ TimeHomogeneousForwardCorrelation()

TimeHomogeneousForwardCorrelation ( const Matrix fwdCorrelation,
const std::vector< Time > &  rateTimes 
)

Definition at line 28 of file timehomogeneousforwardcorrelation.cpp.

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Member Function Documentation

◆ times()

const std::vector< Time > & times ( ) const
overridevirtual

◆ rateTimes()

const std::vector< Time > & rateTimes ( ) const
overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 77 of file timehomogeneousforwardcorrelation.cpp.

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◆ correlations()

const std::vector< Matrix > & correlations ( ) const
overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 82 of file timehomogeneousforwardcorrelation.cpp.

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◆ numberOfRates()

Size numberOfRates ( ) const
overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 86 of file timehomogeneousforwardcorrelation.cpp.

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◆ evolvedMatrices()

std::vector< Matrix > evolvedMatrices ( const Matrix fwdCorrelation)
static

Definition at line 50 of file timehomogeneousforwardcorrelation.cpp.

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Member Data Documentation

◆ numberOfRates_

Size numberOfRates_
private

Definition at line 42 of file timehomogeneousforwardcorrelation.hpp.

◆ fwdCorrelation_

Matrix fwdCorrelation_
private

Definition at line 43 of file timehomogeneousforwardcorrelation.hpp.

◆ rateTimes_

std::vector<Time> rateTimes_
private

Definition at line 44 of file timehomogeneousforwardcorrelation.hpp.

◆ times_

std::vector<Time> times_
private

Definition at line 44 of file timehomogeneousforwardcorrelation.hpp.

◆ correlations_

std::vector<Matrix> correlations_
private

Definition at line 45 of file timehomogeneousforwardcorrelation.hpp.