BaseCorrelationQuote Class Reference

market element whose value depends on two other market element More...

#include <qle/quotes/basecorrelationquote.hpp>

Inheritance diagram for BaseCorrelationQuote:

Public Member Functions
	BaseCorrelationQuote (const Handle< QuantExt::BaseCorrelationTermStructure > &bcts, Period term, Real lossLevel, bool extrapolate)
inspectors
Handle< QuantExt::BaseCorrelationTermStructure >	termStructure () const
Period	term () const
Real	lossLevel () const
bool	extrapolate () const
Quote interface
Real	value () const override
bool	isValid () const override

Observer interface
void	update () override

Detailed Description

market element whose value depends on two other market element

Tests:

the correctness of the returned values is tested by checking them against numerical calculations.