Term structure of correlations. More...
#include <ql/math/comparison.hpp>
#include <ql/quote.hpp>
#include <ql/termstructure.hpp>
Classes | |
class | CorrelationTermStructure |
Correlation term structure. More... | |
class | NegativeCorrelationTermStructure |
Wrapper class that inverts the correlation. More... | |
class | CorrelationValue |
Wrapper class that extracts a value at a given time from the term structure. More... | |
Term structure of correlations.