QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
credit
basecorrelationstructure.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/basecorrelationstructure.hpp
>
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namespace
QuantLib
{
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/* Default Factories for some specific two dimensional interpolations
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through template specialization. The signature of the 2D interpolator
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constructor is not guaranteed.*/
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template
<>
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void
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BaseCorrelationTermStructure<BilinearInterpolation>::setupInterpolation
() {
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interpolation_ =
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BilinearInterpolation
(trancheTimes_.begin(),
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trancheTimes_.end(), lossLevel_.begin(), lossLevel_.end(),
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correlations_);
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}
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/* Notice See that some interpolators might take you out of the [-1,1]
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correlation domain.
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*/
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template
<>
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void
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BaseCorrelationTermStructure<BicubicSpline>::setupInterpolation
() {
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interpolation_ =
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BicubicSpline
(trancheTimes_.begin(),
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trancheTimes_.end(), lossLevel_.begin(), lossLevel_.end(),
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correlations_);
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}
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}
basecorrelationstructure.hpp
QuantLib::BaseCorrelationTermStructure::setupInterpolation
virtual void setupInterpolation()
QuantLib::BicubicSpline
bicubic-spline interpolation between discrete points
Definition:
bicubicsplineinterpolation.hpp:163
QuantLib::BilinearInterpolation
bilinear interpolation between discrete points
Definition:
bilinearinterpolation.hpp:72
QuantLib
Definition:
any.hpp:35
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