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)