TenorOptionletVTS::TwoParameterCorrelation Class Reference

#include <ql/experimental/basismodels/tenoroptionletvts.hpp>

Inheritance diagram for TenorOptionletVTS::TwoParameterCorrelation:

Collaboration diagram for TenorOptionletVTS::TwoParameterCorrelation:

Public Member Functions
	TwoParameterCorrelation (ext::shared_ptr< Interpolation > rhoInf, ext::shared_ptr< Interpolation > beta)
Real	operator() (const Time &start1, const Time &start2) const override
Public Member Functions inherited from TenorOptionletVTS::CorrelationStructure
virtual Real	operator() (const Time &start1, const Time &start2) const =0
virtual	~CorrelationStructure ()=default

Protected Attributes
ext::shared_ptr< Interpolation >	rhoInf_
ext::shared_ptr< Interpolation >	beta_

Detailed Description

Definition at line 84 of file tenoroptionletvts.hpp.

Constructor & Destructor Documentation

TwoParameterCorrelation()

TwoParameterCorrelation	(	ext::shared_ptr< Interpolation >	rhoInf,
		ext::shared_ptr< Interpolation >	beta
	)

Definition at line 90 of file tenoroptionletvts.hpp.

Member Function Documentation

operator()()

Real operator() ( const Time &  start1, const Time &  start2  ) const

overridevirtual

Implements TenorOptionletVTS::CorrelationStructure.

Definition at line 93 of file tenoroptionletvts.hpp.

Member Data Documentation

rhoInf_

ext::shared_ptr<Interpolation> rhoInf_

protected

Definition at line 86 of file tenoroptionletvts.hpp.

beta_

ext::shared_ptr<Interpolation> beta_

protected

Definition at line 87 of file tenoroptionletvts.hpp.