Spreaded Correlation Curve. More...
#include <qle/termstructures/spreadedcorrelationcurve.hpp>
Public Member Functions | |
SpreadedCorrelationCurve (const Handle< CorrelationTermStructure > &referenceCorrelation, const std::vector< Time > ×, const std::vector< Handle< Quote >> &corrSpreads, const bool useAtmReferenceVolsOnly=false) | |
Date | maxDate () const override |
const Date & | referenceDate () const override |
Calendar | calendar () const override |
Natural | settlementDays () const override |
Time | minTime () const override |
The minimum time for which the curve can return values. | |
void | update () override |
Public Member Functions inherited from CorrelationTermStructure | |
CorrelationTermStructure (const DayCounter &dc=DayCounter()) | |
CorrelationTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) | |
CorrelationTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter()) | |
Real | correlation (Time t, Real strike=Null< Real >(), bool extrapolate=false) const |
Real | correlation (const Date &d, Real strike=Null< Real >(), bool extrapolate=false) const |
Additional Inherited Members | |
Protected Member Functions inherited from CorrelationTermStructure | |
virtual void | checkRange (Time t, Real strike, bool extrapolate) const |
Extra time range check for minimum time, then calls TermStructure::checkRange. | |
Spreaded Correlation Curve.
SpreadedCorrelationCurve | ( | const Handle< CorrelationTermStructure > & | referenceCorrelation, |
const std::vector< Time > & | times, | ||
const std::vector< Handle< Quote >> & | corrSpreads, | ||
const bool | useAtmReferenceVolsOnly = false |
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) |