functions to construct and use Correlation objects.
The first step is to load the QuantLib package.
In[658]:=
Needs["QuantLib`"]
Within the Correlation part there are several constructors and member functions available
In[659]:=
Select[Category[Correlation],QLConstructor[#]&]
Out[659]=
In[660]:=
Select[Category[Correlation],QLMember[#]&]
Out[660]=
MarketModelLmLinearExponentialCorrelationModel
In[661]:=
In[665]:=
obj=MarketModelLmLinearExponentialCorrelationModel[Size,Rho,beta]
Out[665]=
HistoricalForwardRatesAnalysis
obj=HistoricalForwardRatesAnalysis[SequenceStats,StartDate,EndDate,Step,IborIndex,InitialGap,Horizon,IborIndexes,SwapIndexes]
HistoricalRatesAnalysis
obj=HistoricalRatesAnalysis[SequenceStats,StartDate,EndDate,Step,InterestRateIndexes]
TimeHomogeneousForwardCorrelation
obj=TimeHomogeneousForwardCorrelation[FwdCorrMatrix,RateTimes]
ExponentialForwardCorrelation
obj=ExponentialForwardCorrelation[RateTimes,LongTermCorr,Beta,Gamma,Times]
CotSwapFromFwdCorrelation
obj=CotSwapFromFwdCorrelation[FwdCorr,CurveState]
HistoricalForwardRatesAnalysisSkippedDates
In[666]:=
HistoricalForwardRatesAnalysisSkippedDates[obj]
HistoricalForwardRatesAnalysisSkippedDatesErrorMessage
HistoricalForwardRatesAnalysisSkippedDatesErrorMessage[obj]
HistoricalForwardRatesAnalysisFailedDates
HistoricalForwardRatesAnalysisFailedDates[obj]
HistoricalForwardRatesAnalysisFailedDatesErrorMessage
HistoricalForwardRatesAnalysisFailedDatesErrorMessage[obj]
HistoricalForwardRatesAnalysisFixingPeriods
HistoricalForwardRatesAnalysisFixingPeriods[obj]
HistoricalRatesAnalysisSkippedDates
HistoricalRatesAnalysisSkippedDates[obj]
HistoricalRatesAnalysisSkippedDatesErrorMessage
HistoricalRatesAnalysisSkippedDatesErrorMessage[obj]
PiecewiseConstantCorrelationCorrelation
PiecewiseConstantCorrelationCorrelation[objTimeIndex]
PiecewiseConstantCorrelationTimes
PiecewiseConstantCorrelationTimes[obj]
PiecewiseConstantCorrelationNumberOfRates
PiecewiseConstantCorrelationNumberOfRates[obj]
