PiecewiseConstantCorrelation Class Reference

#include <piecewiseconstantcorrelation.hpp>

Inheritance diagram for PiecewiseConstantCorrelation:

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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

Detailed Description

Definition at line 32 of file piecewiseconstantcorrelation.hpp.

Constructor & Destructor Documentation

~PiecewiseConstantCorrelation()

virtual ~PiecewiseConstantCorrelation ( )

virtualdefault

Member Function Documentation

times()

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

pure virtual

Implemented in CotSwapFromFwdCorrelation, ExponentialForwardCorrelation, and TimeHomogeneousForwardCorrelation.

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rateTimes()

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

pure virtual

Implemented in CotSwapFromFwdCorrelation, ExponentialForwardCorrelation, and TimeHomogeneousForwardCorrelation.

correlations()

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

pure virtual

Implemented in CotSwapFromFwdCorrelation, ExponentialForwardCorrelation, and TimeHomogeneousForwardCorrelation.

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correlation()

const Matrix & correlation ( Size  i ) const

virtual

Definition at line 43 of file piecewiseconstantcorrelation.hpp.

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numberOfRates()

virtual Size numberOfRates ( ) const

pure virtual

Implemented in CotSwapFromFwdCorrelation, ExponentialForwardCorrelation, and TimeHomogeneousForwardCorrelation.

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