SpreadedBaseCorrelationCurve Class Reference

Spreaded Base Correlation Curve. More...

#include <qle/termstructures/credit/spreadedbasecorrelationcurve.hpp>

Inheritance diagram for SpreadedBaseCorrelationCurve:

Public Member Functions
	SpreadedBaseCorrelationCurve (const Handle< BaseCorrelationTermStructure > &baseCurve, const std::vector< Period > &tenors, const std::vector< double > &detachmentPoints, const std::vector< std::vector< Handle< Quote >>> &corrSpreads, const Date &startDate=Date(), boost::optional< DateGeneration::Rule > rule=boost::none)
void	update () override
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 override
virtual double	maxDetachmentPoint () const override
Public Member Functions inherited from BaseCorrelationTermStructure
	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)
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
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

Additional Inherited Members
Protected Member Functions inherited from BaseCorrelationTermStructure
virtual void	checkRange (Time t, Real strike, bool extrapolate) const override
	Extra time range check for minimum time, then calls TermStructure::checkRange.
Calculations
This method must be implemented in derived classes to perform the actual calculations.
Protected Attributes inherited from BaseCorrelationTermStructure
std::vector< Period >	tenors_
std::vector< double >	detachmentPoints_
std::vector< Date >	dates_
std::vector< double >	times_

Detailed Description

Spreaded Base Correlation Curve.