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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Mark Joshi
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.
*/
#ifndef quantlib_piecewise_constant_correlation_hpp
#define quantlib_piecewise_constant_correlation_hpp
#include <ql/math/matrix.hpp>
#include <vector>
namespace QuantLib {
class Matrix;
// corrTimes must include all rateTimes but the last
class PiecewiseConstantCorrelation {
public:
virtual ~PiecewiseConstantCorrelation() = default;
virtual const std::vector<Time>& times() const = 0;
virtual const std::vector<Time>& rateTimes() const = 0;
virtual const std::vector<Matrix>& correlations() const = 0;
virtual const Matrix& correlation(Size i) const;
virtual Size numberOfRates() const = 0;
};
inline const Matrix&
PiecewiseConstantCorrelation::correlation(Size i) const {
const std::vector<Matrix>& results = correlations();
QL_REQUIRE(i<results.size(),
"index (" << i <<
") must be less than correlations vector size (" <<
results.size() << ")");
return results[i];
}
}
#endif
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