Module net.finmath.lib

Package net.finmath.marketdata.model.volatility.caplet.tenorconversion

Interface CorrelationProvider

All Known Implementing Classes:

CorrelationProviderTenorBasis

public interface CorrelationProvider

Interface for a correlation provider for forward curves.

Method Summary

Modifier and Type	Method	Description
double	getCorrelation(int newTenor, double firstForwardFixingTimeVectorInYears, double secondForwardFixingTimeVectorInYears, AnalyticModel analyticModel, String indexForDiscount)

Method Detail

getCorrelation

double getCorrelation(int newTenor,
                      double firstForwardFixingTimeVectorInYears,
                      double secondForwardFixingTimeVectorInYears,
                      AnalyticModel analyticModel,
                      String indexForDiscount)
               throws CalculationException

Throws:

CalculationException