Spreaded Correlation Curve. More...

#include <qle/termstructures/spreadedcorrelationcurve.hpp>

Inheritance diagram for SpreadedCorrelationCurve:

Public Member Functions
	SpreadedCorrelationCurve (const Handle< CorrelationTermStructure > &referenceCorrelation, const std::vector< Time > &times, const std::vector< Handle< Quote >> &corrSpreads, const bool useAtmReferenceVolsOnly=false)

Date	maxDate () const override

const Date &	referenceDate () const override

Calendar	calendar () const override

Natural	settlementDays () const override

Time	minTime () const override
	The minimum time for which the curve can return values.

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

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.

Detailed Description

Spreaded Correlation Curve.

Constructor & Destructor Documentation

SpreadedCorrelationCurve	(	const Handle< CorrelationTermStructure > &	referenceCorrelation,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote >> &	corrSpreads,
		const bool	useAtmReferenceVolsOnly = `false`
	)

times should be consistent with reference ts day counter
if useAtmReferenceCorrsOnly, only corrs with strike Null<Real>() are read from the referenceVol, otherwise the full reference vol surface (if it is one) is used