CorrelationTermStructure based on interpolation of correlations. More...
#include <qle/termstructures/interpolatedcorrelationcurve.hpp>
Public Member Functions | |
InterpolatedCorrelationCurve (const std::vector< Time > ×, const std::vector< Handle< Quote > > &correlations, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator=Interpolator()) | |
TermStructure interface | |
Date | maxDate () const override |
Time | maxTime () const override |
Observer interface | |
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 |
virtual Time | minTime () const |
The minimum time for which the curve can return values. | |
CorrelationTermStructure implementation | |
std::vector< Handle< Quote > > | quotes_ |
Real | correlationImpl (Time t, Real) const override |
Correlation calculation. | |
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. | |
CorrelationTermStructure based on interpolation of correlations.
InterpolatedCorrelationCurve | ( | const std::vector< Time > & | times, |
const std::vector< Handle< Quote > > & | correlations, | ||
const DayCounter & | dayCounter, | ||
const Calendar & | calendar, | ||
const Interpolator & | interpolator = Interpolator() |
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) |
InterpolatedCorrelationCurve has floating referenceDate (Settings::evaluationDate())