QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
|
#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>
Public Member Functions | |
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 |
Definition at line 32 of file piecewiseconstantcorrelation.hpp.
|
virtualdefault |
|
pure virtual |
Implemented in CotSwapFromFwdCorrelation, ExponentialForwardCorrelation, and TimeHomogeneousForwardCorrelation.
|
pure virtual |
Implemented in CotSwapFromFwdCorrelation, ExponentialForwardCorrelation, and TimeHomogeneousForwardCorrelation.
|
pure virtual |
Implemented in CotSwapFromFwdCorrelation, ExponentialForwardCorrelation, and TimeHomogeneousForwardCorrelation.
Definition at line 43 of file piecewiseconstantcorrelation.hpp.
|
pure virtual |
Implemented in CotSwapFromFwdCorrelation, ExponentialForwardCorrelation, and TimeHomogeneousForwardCorrelation.