QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
BaseCorrelationTermStructure< Interpolator2D_T > Class Template Reference

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

+ Inheritance diagram for BaseCorrelationTermStructure< Interpolator2D_T >:

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
 
- Public Member Functions inherited from CorrelationTermStructure
 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
 
BusinessDayConvention businessDayConvention () const
 
Date dateFromTenor (const Period &) const
 period/date conversion
 
- Public Member Functions inherited from TermStructure
 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 ~TermStructure ()
 
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 DatereferenceDate () 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 ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Extrapolator
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

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check
 
void checkRange (Time t, bool extrapolate) const
 time-range check
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

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.
Examples
BasketLosses.cpp.

Member Function Documentation

◆ update()

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.