1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005, 2006 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file lmconstwrappercorrmodel.hpp
\brief const wrapper for correlation model for libor market models
*/
#ifndef quantlib_libor_forward_const_wrapper_correlation_model_hpp
#define quantlib_libor_forward_const_wrapper_correlation_model_hpp
#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp>
namespace QuantLib {
class LmConstWrapperCorrelationModel : public LmCorrelationModel {
public:
LmConstWrapperCorrelationModel(
const ext::shared_ptr<LmCorrelationModel> & corrModel)
: LmCorrelationModel(corrModel->size(), 0),
corrModel_(corrModel) {
}
Size factors() const override { return corrModel_->factors(); }
Matrix correlation(Time t, const Array& x = {}) const override {
return corrModel_->correlation(t, x);
}
Matrix pseudoSqrt(Time t, const Array& x = {}) const override {
return corrModel_->pseudoSqrt(t, x);
}
Real correlation(Size i, Size j, Time t, const Array& x = {}) const override {
return corrModel_->correlation(i, j, t, x);
}
bool isTimeIndependent() const override { return corrModel_->isTimeIndependent(); }
protected:
void generateArguments() override {}
const ext::shared_ptr<LmCorrelationModel> corrModel_;
};
}
#endif
|
