QuantLib_CorrelationTermStructure man page

CorrelationTermStructure —


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

Inherits TermStructure.

Inherited by BaseCorrelationTermStructure< Interpolator2D_T >.

Public Member Functions

BusinessDayConvention businessDayConvention () const

Date dateFromTenor (const Period &) const
period/date conversion
virtual Size correlationSize () const =0
The size of the squared correlation.

See the TermStructure documentation for issues regarding constructors.

CorrelationTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
default constructor
CorrelationTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
CorrelationTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date

Additional Inherited Members

Detailed Description

Abstract interface, derived correlations TS might have elements with arbitrary dimensions.

In principle there might be several extrapolation dimensions, at this level we do not know how many or the nature of those dimensions (time, strike...) Equally we ignore at this level if the correlation is a number, matrix. Rather than including an arbitrary size matrix this data structure is deferred in the hierarchy to enable potential optimizations on the data nature.

Constructor & Destructor Documentation

CorrelationTermStructure (const Calendar & cal, BusinessDayConvention bdc, const DayCounter & dc = DayCounter())

default constructor


term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.


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Referenced By

CorrelationTermStructure(3) and dateFromTenor(3) are aliases of QuantLib_CorrelationTermStructure(3).

QuantLib Version 1.8.1 Fri Sep 23 2016