BaseCorrelationTermStructure Class Reference

Inheritance diagram for BaseCorrelationTermStructure:

Public Member Functions
	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(), QuantLib::ext::optional< DateGeneration::Rule > rule=QuantLib::ext::nullopt)
	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(), QuantLib::ext::optional< DateGeneration::Rule > rule=QuantLib::ext::nullopt)
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
QuantLib::ext::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

Protected Member Functions
virtual void	checkRange (Time t, Real strike, bool extrapolate) const override
	Extra time range check for minimum time, then calls TermStructure::checkRange.
Protected Member Functions inherited from CorrelationTermStructure
virtual Real	correlationImpl (Time t, Real strike) const =0
	Correlation calculation.

Protected Attributes
std::vector< Period >	tenors_
std::vector< double >	detachmentPoints_
std::vector< Date >	dates_
std::vector< double >	times_

Member Function Documentation

minTime()

virtual Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from CorrelationTermStructure.

Reimplemented in SpreadedBaseCorrelationCurve.

checkRange()

virtual void checkRange ( Time t, Real strike, bool extrapolate ) const

overrideprotectedvirtual

Extra time range check for minimum time, then calls TermStructure::checkRange.

Reimplemented from CorrelationTermStructure.