QuantLib_HistoricalForwardRatesAnalysisImpl man page

HistoricalForwardRatesAnalysisImpl< Traits, Interpolator > — Historical correlation class

Synopsis

#include <ql/models/marketmodels/historicalforwardratesanalysis.hpp>

Inherits HistoricalForwardRatesAnalysis.

Public Member Functions

HistoricalForwardRatesAnalysisImpl (const boost::shared_ptr< SequenceStatistics > &stats, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy)

const std::vector< Date > & skippedDates () const

const std::vector< std::string > & skippedDatesErrorMessage () const

const std::vector< Date > & failedDates () const

const std::vector< std::string > & failedDatesErrorMessage () const

const std::vector< Period > & fixingPeriods () const

Detailed Description

template<class Traits, class Interpolator>

class QuantLib::HistoricalForwardRatesAnalysisImpl< Traits, Interpolator >" Historical correlation class

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

failedDates(3), failedDatesErrorMessage(3), fixingPeriods(3), HistoricalForwardRatesAnalysisImpl(3), skippedDates(3) and skippedDatesErrorMessage(3) are aliases of QuantLib_HistoricalForwardRatesAnalysisImpl(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib