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
 
- Public Member Functions inherited from HistoricalForwardRatesAnalysis
virtual const std::vector< Date > & skippedDates () const =0
 
virtual const std::vector
< std::string > & 
skippedDatesErrorMessage () const =0
 
virtual const std::vector< Date > & failedDates () const =0
 
virtual const std::vector
< std::string > & 
failedDatesErrorMessage () const =0
 
virtual const std::vector
< Period > & 
fixingPeriods () const =0
 

Detailed Description

template<class Traits, class Interpolator>
class QuantLib::HistoricalForwardRatesAnalysisImpl< Traits, Interpolator >

Historical correlation class