QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
HistoricalForwardRatesAnalysisImpl< Traits, Interpolator > Class Template Reference

Historical correlation class More...

#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