CorrelationTermStructure based on interpolation of correlations. More...

#include <qle/termstructures/interpolatedcorrelationcurve.hpp>

Inheritance diagram for InterpolatedCorrelationCurve< Interpolator >:

Public Member Functions
	InterpolatedCorrelationCurve (const std::vector< Time > &times, 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.

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedCorrelationCurve< Interpolator >

CorrelationTermStructure based on interpolation of correlations.

Constructor & Destructor Documentation

template<class Interpolator>

InterpolatedCorrelationCurve	(	const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	correlations,
		const DayCounter &	dayCounter,
		const Calendar &	calendar,
		const Interpolator &	interpolator = Interpolator() )

InterpolatedCorrelationCurve has floating referenceDate (Settings::evaluationDate())

template<class Interpolator>

Real correlationImpl	(	Time	t,
		Real	strike ) const

overrideprotectedvirtual

Correlation calculation.