QuantLib_HistoricalForwardRatesAnalysisImpl (3) - Linux Manuals

QuantLib_HistoricalForwardRatesAnalysisImpl: Historical correlation class

NAME

QuantLib::HistoricalForwardRatesAnalysisImpl - Historical correlation class

SYNOPSIS

#include <ql/models/marketmodels/historicalforwardratesanalysis.hpp>

Inherits QuantLib::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 >

Author

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