Correlation term structure. More...
#include <qle/termstructures/correlationtermstructure.hpp>
Public Member Functions | |
Constructors | |
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()) | |
Correlations | |
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 |
virtual Time | minTime () const |
The minimum time for which the curve can return values. | |
Protected Member Functions | |
Calculations | |
This method must be implemented in derived classes to perform the actual calculations. | |
virtual Real | correlationImpl (Time t, Real strike) const =0 |
Correlation calculation. | |
virtual void | checkRange (Time t, Real strike, bool extrapolate) const |
Extra time range check for minimum time, then calls TermStructure::checkRange. | |
Correlation term structure.
This abstract class defines the interface of concrete correlation term structures which will be derived from this one.