本文整理汇总了C++中CurveState::numberOfRates方法的典型用法代码示例。如果您正苦于以下问题：C++ CurveState::numberOfRates方法的具体用法？C++ CurveState::numberOfRates怎么用？C++ CurveState::numberOfRates使用的例子？那么, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类CurveState的用法示例。
在下文中一共展示了CurveState::numberOfRates方法的1个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的C++代码示例。
示例1: fwdCorr
CotSwapFromFwdCorrelation::CotSwapFromFwdCorrelation(
const boost::shared_ptr<PiecewiseConstantCorrelation>& fwdCorr,
const CurveState& curveState,
Spread displacement)
: fwdCorr_(fwdCorr),
numberOfRates_(fwdCorr->numberOfRates()),
swapCorrMatrices_(fwdCorr->correlations().size())
{
QL_REQUIRE(numberOfRates_==curveState.numberOfRates(),
"mismatch between number of rates in fwdCorr (" <<
numberOfRates_ << ") and curveState (" <<
curveState.numberOfRates() << ")");
Matrix zed = SwapForwardMappings::coterminalSwapZedMatrix(
curveState, displacement);
Matrix zedT = transpose(zed);
const std::vector<Matrix>& fwdCorrMatrices = fwdCorr->correlations();
for (Size k = 0; k<fwdCorrMatrices.size(); ++k) {
swapCorrMatrices_[k] = CovarianceDecomposition(
zed * fwdCorrMatrices[k] * zedT).correlationMatrix();
// zero expired rates' correlation coefficients
const std::vector<Time>& rateTimes = curveState.rateTimes();
const std::vector<Time>& corrTimes = fwdCorr_->times();
for (Size i=0; i<numberOfRates_; ++i)
for (Size j=0; j<=i; ++j)
if (corrTimes[k]>rateTimes[j])
swapCorrMatrices_[k][i][j] =
swapCorrMatrices_[k][j][i] = 0.0;
}
}