CotSwapFromFwdCorrelation Class Reference

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

Inheritance diagram for CotSwapFromFwdCorrelation:

Collaboration diagram for CotSwapFromFwdCorrelation:

Public Member Functions
	CotSwapFromFwdCorrelation (const ext::shared_ptr< PiecewiseConstantCorrelation > &fwdCorr, const CurveState &curveState, Spread displacement)
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

Private Attributes
ext::shared_ptr< PiecewiseConstantCorrelation >	fwdCorr_
Size	numberOfRates_
std::vector< Matrix >	swapCorrMatrices_

Detailed Description

Definition at line 31 of file cotswapfromfwdcorrelation.hpp.

Constructor & Destructor Documentation

CotSwapFromFwdCorrelation()

CotSwapFromFwdCorrelation	(	const ext::shared_ptr< PiecewiseConstantCorrelation > &	fwdCorr,
		const CurveState &	curveState,
		Spread	displacement
	)

Definition at line 30 of file cotswapfromfwdcorrelation.cpp.

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Member Function Documentation

times()

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

overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 61 of file cotswapfromfwdcorrelation.cpp.

rateTimes()

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

overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 65 of file cotswapfromfwdcorrelation.cpp.

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correlations()

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

overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 74 of file cotswapfromfwdcorrelation.cpp.

numberOfRates()

Size numberOfRates ( ) const

overridevirtual

Implements PiecewiseConstantCorrelation.

Definition at line 69 of file cotswapfromfwdcorrelation.cpp.

Member Data Documentation

fwdCorr_

ext::shared_ptr<PiecewiseConstantCorrelation> fwdCorr_

private

Definition at line 43 of file cotswapfromfwdcorrelation.hpp.

numberOfRates_

Size numberOfRates_

private

Definition at line 44 of file cotswapfromfwdcorrelation.hpp.

swapCorrMatrices_

std::vector<Matrix> swapCorrMatrices_

private

Definition at line 45 of file cotswapfromfwdcorrelation.hpp.