|
| BaseCorrelationTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const std::vector< Period > &tenors, const std::vector< double > &detachmentPoints, const DayCounter &dc=DayCounter(), const Date &startDate=Date(), boost::optional< DateGeneration::Rule > rule=boost::none) |
|
| BaseCorrelationTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const std::vector< Period > &tenors, const std::vector< double > &detachmentPoints, const DayCounter &dc=DayCounter(), const Date &startDate=Date(), boost::optional< DateGeneration::Rule > rule=boost::none) |
|
virtual Date | maxDate () const override |
|
virtual Time | maxTime () const override |
|
virtual Time | minTime () const override |
| The minimum time for which the curve can return values.
|
|
virtual double | minDetachmentPoint () const |
|
virtual double | maxDetachmentPoint () const |
|
std::vector< double > | times () const |
|
std::vector< double > | detachmentPoints () const |
|
std::vector< Date > | dates () const |
|
BusinessDayConvention | businessDayConvention () const |
|
Date | startDate () const |
|
boost::optional< DateGeneration::Rule > | rule () const |
|
| 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 |
|