Class PiecewiseConstantCorrelation

corrTimes must include all rateTimes but the last

Hierarchy

PiecewiseConstantCorrelation

Index

Methods

Methods

correlation

correlation(i: Size): Matrix

- Defined in ql/models/marketmodels/piecewiseconstantcorrelation.ts:21
Parameters
- i: Size
Returns Matrix

correlations

correlations(): Matrix[]

- Defined in ql/models/marketmodels/piecewiseconstantcorrelation.ts:17
Returns Matrix[]

numberOfRates

numberOfRates(): Size

- Defined in ql/models/marketmodels/piecewiseconstantcorrelation.ts:31
Returns Size

rateTimes

rateTimes(): Time[]

- Defined in ql/models/marketmodels/piecewiseconstantcorrelation.ts:14
Returns Time[]

times

times(): Time[]

- Defined in ql/models/marketmodels/piecewiseconstantcorrelation.ts:11
Returns Time[]