QuantLib_BaseCorrelationTermStructure man page

BaseCorrelationTermStructure< Interpolator2D_T > —

Synopsis

#include <ql/experimental/credit/basecorrelationstructure.hpp>

Inherits CorrelationTermStructure.

Public Member Functions

BaseCorrelationTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const std::vector< Period > &tenors, const std::vector< Real > &lossLevel, const std::vector< std::vector< Handle< Quote > > > &correls, const DayCounter &dc=DayCounter())

Size correlationSize () const
The size of the squared correlation.
Real ImplicitCorrelation (Real, Real)
Implicit correlation for the given loss interval.
void checkTrancheTenors () const

void checkLosses () const

void initializeTrancheTimes () const

void checkInputs (Size volRows, Size volsColumns) const

void registerWithMarketData ()

void update ()

void updateMatrix () const

Date maxDate () const
the latest date for which the curve can return values
Real correlation (const Date &d, Real lossLevel, bool extrapolate=false) const

Real correlation (Time t, Real lossLevel, bool extrapolate=false) const

Additional Inherited Members

Detailed Description

template<class Interpolator2D_T>

class QuantLib::BaseCorrelationTermStructure< Interpolator2D_T >" Matrix based Base Correlation Term Structure

Loss level versus time interpolated scalar copula type parametric correlation term structure. Represents the correlation for the credit loss level of a given portfolio at a given loss level and time.

Member Function Documentation

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BaseCorrelationTermStructure(3), checkInputs(3), checkLosses(3), checkTrancheTenors(3), correlation(3), correlationSize(3), ImplicitCorrelation(3), initializeTrancheTimes(3), registerWithMarketData(3) and updateMatrix(3) are aliases of QuantLib_BaseCorrelationTermStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib