CorrelationTermStructure Class Reference

Correlation term structure. More...

#include <qle/termstructures/correlationtermstructure.hpp>

Inheritance diagram for CorrelationTermStructure:

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.

Detailed Description

Correlation term structure.

This abstract class defines the interface of concrete correlation term structures which will be derived from this one.

Member Function Documentation

minTime()

virtual Time minTime ( ) const

virtual

The minimum time for which the curve can return values.

Reimplemented in BaseCorrelationTermStructure, SpreadedBaseCorrelationCurve, and SpreadedCorrelationCurve.

correlationImpl()

virtual Real correlationImpl ( Time t, Real strike ) const

protectedpure virtual

Correlation calculation.

Implemented in InterpolatedBaseCorrelationTermStructure< Interpolator >, InterpolatedBaseCorrelationTermStructure< QuantLib::Bilinear >, InterpolatedCorrelationCurve< Interpolator >, InterpolatedCorrelationCurve< BackwardFlat >, and InterpolatedCorrelationCurve< Linear >.

checkRange()

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

protectedvirtual

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

Reimplemented in BaseCorrelationTermStructure.