HistoricalForwardRatesAnalysisImpl< Traits, Interpolator > Class Template Reference
Historical correlation class More...
#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 >
Historical correlation class