Correlation

Overview

functions to construct and use Correlation objects.

Function List

qlCotSwapFromFwdCorrelation ()
qlExponentialCorrelations ()
qlExponentialForwardCorrelation ()
qlHistoricalForwardRatesAnalysis ()
qlHistoricalForwardRatesAnalysisFailedDates ()
qlHistoricalForwardRatesAnalysisFailedDatesErrorMessage ()
qlHistoricalForwardRatesAnalysisFixingPeriods ()
qlHistoricalForwardRatesAnalysisSkippedDates ()
qlHistoricalForwardRatesAnalysisSkippedDatesErrorMessage ()
qlHistoricalRatesAnalysis ()
qlHistoricalRatesAnalysisSkippedDates ()
qlHistoricalRatesAnalysisSkippedDatesErrorMessage ()
qlMarketModelLmLinearExponentialCorrelationModel ()
qlPiecewiseConstantCorrelationCorrelation ()
qlPiecewiseConstantCorrelationNumberOfRates ()
qlPiecewiseConstantCorrelationTimes ()
qlTimeHomogeneousForwardCorrelation ()

Function Documentation

qlCotSwapFromFwdCorrelation

string returnValue
 
qlCotSwapFromFwdCorrelation(
        string ObjectId
        string FwdCorr
        string CurveState
        double Displacement
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CotSwapFromFwdCorrelation and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
FwdCorr	Forward rates correlation (i.e. PiecewiseConstantCorrelation object ID).
CurveState	curveState.
Displacement	displacement. Default value = 0.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlExponentialCorrelations

vector<vector<double> > returnValue
 
qlExponentialCorrelations(
        vector<double> RateTimes
        double LongTermCorr
        double Beta
        double Gamma
        double Time
        any Trigger)

Description:

Returns the correlation matrix (time dependent long term + beta + gamma exponential functional form).

Supported Platforms:

Excel, Calc

Parameters

RateTimes	rate fixing times.
LongTermCorr	Long term correlation . Default value = 0.0.
Beta	exponential decay factor. Default value = 0.24.
Gamma	exponent for time to go. Default value = 0.333.
Time	time t .
Trigger	dependency tracking trigger

qlExponentialForwardCorrelation

string returnValue
 
qlExponentialForwardCorrelation(
        string ObjectId
        vector<double> RateTimes
        double LongTermCorr
        double Beta
        double Gamma
        vector<double> Times
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ExponentialForwardCorrelation and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
RateTimes	rate times.
LongTermCorr	Long term correlation .
Beta	exponential decay factor.
Gamma	exponent for time to go.
Times	times.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlHistoricalForwardRatesAnalysis

string returnValue
 
qlHistoricalForwardRatesAnalysis(
        string ObjectId
        string SequenceStats
        long StartDate
        long EndDate
        string Step
        string IborIndex
        string InitialGap
        string Horizon
        vector<string> IborIndexes
        vector<string> SwapIndexes
        string DayCounter
        string TraitsID
        string InterpolatorID
        double BootstrapAccuracy
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class HistoricalForwardRatesAnalysis and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
SequenceStats	Sequence Statistics object ID.
StartDate	beginning of the time series.
EndDate	end of the time series.
Step	time series' time step.
IborIndex	floating rate index.
InitialGap	initialGap.
Horizon	bootstrap horizon.
IborIndexes	Ibor indexes.
SwapIndexes	Swap indexes.
DayCounter	yield curve DayCounter ID. Default value = Actual/365 (Fixed).
TraitsID	Discount, ZeroYield, or ForwardRate. Default value = Discount.
InterpolatorID	Linear, LogLinear, or CubicSpline. Default value = CubicSpline.
BootstrapAccuracy	boostrap accuracy. Default value = 1.0e-12.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlHistoricalForwardRatesAnalysisFailedDates

vector<long> returnValue
 
qlHistoricalForwardRatesAnalysisFailedDates(
        string ObjectId
        any Trigger)

Description:

Returns vector of dates for which forward rates could not be calculated.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::HistoricalForwardRatesAnalysis object
Trigger	dependency tracking trigger

qlHistoricalForwardRatesAnalysisFailedDatesErrorMessage

vector<string> returnValue
 
qlHistoricalForwardRatesAnalysisFailedDatesErrorMessage(
        string ObjectId
        any Trigger)

Description:

Returns vector of error messages for dates on which forward rates could not be calculated.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::HistoricalForwardRatesAnalysis object
Trigger	dependency tracking trigger

qlHistoricalForwardRatesAnalysisFixingPeriods

vector<string> returnValue
 
qlHistoricalForwardRatesAnalysisFixingPeriods(
        string ObjectId
        any Trigger)

Description:

Returns the forward rates time grid.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::HistoricalForwardRatesAnalysis object
Trigger	dependency tracking trigger

qlHistoricalForwardRatesAnalysisSkippedDates

vector<long> returnValue
 
qlHistoricalForwardRatesAnalysisSkippedDates(
        string ObjectId
        any Trigger)

Description:

Returns vector of historic dates for which some fixing is missing.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::HistoricalForwardRatesAnalysis object
Trigger	dependency tracking trigger

qlHistoricalForwardRatesAnalysisSkippedDatesErrorMessage

vector<string> returnValue
 
qlHistoricalForwardRatesAnalysisSkippedDatesErrorMessage(
        string ObjectId
        any Trigger)

Description:

Returns vector of error messages for historic dates with missing fixing.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::HistoricalForwardRatesAnalysis object
Trigger	dependency tracking trigger

qlHistoricalRatesAnalysis

string returnValue
 
qlHistoricalRatesAnalysis(
        string ObjectId
        string SequenceStats
        long StartDate
        long EndDate
        string Step
        vector<string> InterestRateIndexes
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class HistoricalRatesAnalysis and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
SequenceStats	Sequence Statistics object ID.
StartDate	beginning of the time series.
EndDate	end of the time series.
Step	time series' time step.
InterestRateIndexes	interest rate indexes object IDs.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlHistoricalRatesAnalysisSkippedDates

vector<long> returnValue
 
qlHistoricalRatesAnalysisSkippedDates(
        string ObjectId
        any Trigger)

Description:

Returns vector of historic dates for which some fixing is missing.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::HistoricalRatesAnalysis object
Trigger	dependency tracking trigger

qlHistoricalRatesAnalysisSkippedDatesErrorMessage

vector<string> returnValue
 
qlHistoricalRatesAnalysisSkippedDatesErrorMessage(
        string ObjectId
        any Trigger)

Description:

Returns vector of error messages for historic dates with missing fixing.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::HistoricalRatesAnalysis object
Trigger	dependency tracking trigger

qlMarketModelLmLinearExponentialCorrelationModel

string returnValue
 
qlMarketModelLmLinearExponentialCorrelationModel(
        string ObjectId
        long Size
        double Rho
        double Beta
        long Factors
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class LmLinearExponentialCorrelationModel and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Size	size.
Rho	rho.
Beta	beta.
Factors	factors. Default value = QuantLib::Null<QuantLib::Size>().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlPiecewiseConstantCorrelationCorrelation

vector<vector<double> > returnValue
 
qlPiecewiseConstantCorrelationCorrelation(
        string ObjectId
        long TimeIndex
        any Trigger)

Description:

Returns the pseudo-root of the equivalent covariance swap rates matrix.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::PiecewiseConstantCorrelation object
TimeIndex	time index.
Trigger	dependency tracking trigger

qlPiecewiseConstantCorrelationNumberOfRates

long returnValue
 
qlPiecewiseConstantCorrelationNumberOfRates(
        string ObjectId
        any Trigger)

Description:

Piecewise Constant Correlation Number of Rates.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::PiecewiseConstantCorrelation object
Trigger	dependency tracking trigger

qlPiecewiseConstantCorrelationTimes

vector<double> returnValue
 
qlPiecewiseConstantCorrelationTimes(
        string ObjectId
        any Trigger)

Description:

Piecewise Constant Correlation Times.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::PiecewiseConstantCorrelation object
Trigger	dependency tracking trigger

qlTimeHomogeneousForwardCorrelation

string returnValue
 
qlTimeHomogeneousForwardCorrelation(
        string ObjectId
        vector<vector<double> > FwdCorrMatrix
        vector<double> RateTimes
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class TimeHomogeneousForwardCorrelation and return its id

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of object to be created
FwdCorrMatrix	forward correlation matrix.
RateTimes	rate times.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag