#include <ql/experimental/credit/basecorrelationstructure.hpp>
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 |
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BusinessDayConvention | businessDayConvention () const |
Date | dateFromTenor (const Period &) const |
period/date conversion | |
CorrelationTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
default constructor More... | |
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 | |
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TermStructure (const DayCounter &dc=DayCounter()) | |
default constructor More... | |
TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
virtual DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Time | timeFromReference (const Date &date) const |
date/time conversion | |
virtual Time | maxTime () const |
the latest time for which the curve can return values | |
virtual const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
virtual Calendar | calendar () const |
the calendar used for reference and/or option date calculation | |
virtual Natural | settlementDays () const |
the settlementDays used for reference date calculation | |
void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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void | enableExtrapolation (bool b=true) |
enable extrapolation in subsequent calls | |
void | disableExtrapolation (bool b=true) |
disable extrapolation in subsequent calls | |
bool | allowsExtrapolation () const |
tells whether extrapolation is enabled | |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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void | checkRange (const Date &d, bool extrapolate) const |
date-range check | |
void | checkRange (Time t, bool extrapolate) const |
time-range check | |
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bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
Matrix based Base Correlation Term Structure
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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.