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<div class="headertitle"><div class="title">Correlation</div></div>
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<div class="textblock"><h1><a class="anchor" id="overview"></a>
Overview</h1>
<p>functions to construct and use Correlation objects. </p>
<h1><a class="anchor" id="functionlist"></a>
Function List</h1>
<p><a class="el" href="func_correlation.html#qlCotSwapFromFwdCorrelation">qlCotSwapFromFwdCorrelation</a> ()<br />
<a class="el" href="func_correlation.html#qlExponentialCorrelations">qlExponentialCorrelations</a> ()<br />
<a class="el" href="func_correlation.html#qlExponentialForwardCorrelation">qlExponentialForwardCorrelation</a> ()<br />
<a class="el" href="func_correlation.html#qlHistoricalForwardRatesAnalysis">qlHistoricalForwardRatesAnalysis</a> ()<br />
<a class="el" href="func_correlation.html#qlHistoricalForwardRatesAnalysisFailedDates">qlHistoricalForwardRatesAnalysisFailedDates</a> ()<br />
<a class="el" href="func_correlation.html#qlHistoricalForwardRatesAnalysisFailedDatesErrorMessage">qlHistoricalForwardRatesAnalysisFailedDatesErrorMessage</a> ()<br />
<a class="el" href="func_correlation.html#qlHistoricalForwardRatesAnalysisFixingPeriods">qlHistoricalForwardRatesAnalysisFixingPeriods</a> ()<br />
<a class="el" href="func_correlation.html#qlHistoricalForwardRatesAnalysisSkippedDates">qlHistoricalForwardRatesAnalysisSkippedDates</a> ()<br />
<a class="el" href="func_correlation.html#qlHistoricalForwardRatesAnalysisSkippedDatesErrorMessage">qlHistoricalForwardRatesAnalysisSkippedDatesErrorMessage</a> ()<br />
<a class="el" href="func_correlation.html#qlHistoricalRatesAnalysis">qlHistoricalRatesAnalysis</a> ()<br />
<a class="el" href="func_correlation.html#qlHistoricalRatesAnalysisSkippedDates">qlHistoricalRatesAnalysisSkippedDates</a> ()<br />
<a class="el" href="func_correlation.html#qlHistoricalRatesAnalysisSkippedDatesErrorMessage">qlHistoricalRatesAnalysisSkippedDatesErrorMessage</a> ()<br />
<a class="el" href="func_correlation.html#qlMarketModelLmLinearExponentialCorrelationModel">qlMarketModelLmLinearExponentialCorrelationModel</a> ()<br />
<a class="el" href="func_correlation.html#qlPiecewiseConstantCorrelationCorrelation">qlPiecewiseConstantCorrelationCorrelation</a> ()<br />
<a class="el" href="func_correlation.html#qlPiecewiseConstantCorrelationNumberOfRates">qlPiecewiseConstantCorrelationNumberOfRates</a> ()<br />
<a class="el" href="func_correlation.html#qlPiecewiseConstantCorrelationTimes">qlPiecewiseConstantCorrelationTimes</a> ()<br />
<a class="el" href="func_correlation.html#qlTimeHomogeneousForwardCorrelation">qlTimeHomogeneousForwardCorrelation</a> ()<br />
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<h1><a class="anchor" id="documentation"></a>
Function Documentation</h1>
<p><a class="anchor" id="qlCotSwapFromFwdCorrelation"></a><b>qlCotSwapFromFwdCorrelation</b> </p><div class="fragment"><div class="line"><span class="keywordtype">string</span> returnValue</div>
<div class="line"> </div>
<div class="line">qlCotSwapFromFwdCorrelation(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> <span class="keywordtype">string</span> FwdCorr</div>
<div class="line"> <span class="keywordtype">string</span> CurveState</div>
<div class="line"> <span class="keywordtype">double</span> Displacement</div>
<div class="line"> <span class="keywordtype">bool</span> Permanent</div>
<div class="line"> any Trigger</div>
<div class="line"> <span class="keywordtype">bool</span> Overwrite)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Construct an object of class CotSwapFromFwdCorrelation and return its id</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel, C++, Calc</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of object to be created </td></tr>
<tr><td class="paramname">FwdCorr</td><td>Forward rates correlation (i.e. PiecewiseConstantCorrelation object ID). </td></tr>
<tr><td class="paramname">CurveState</td><td>curveState. </td></tr>
<tr><td class="paramname">Displacement</td><td>displacement. Default value = 0.0. </td></tr>
<tr><td class="paramname">Permanent</td><td>object permanent/nonpermanent </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger </td></tr>
<tr><td class="paramname">Overwrite</td><td>overwrite flag</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlExponentialCorrelations"></a><b>qlExponentialCorrelations</b> </p><div class="fragment"><div class="line">vector<vector<double> > returnValue</div>
<div class="line"> </div>
<div class="line">qlExponentialCorrelations(</div>
<div class="line"> vector<double> RateTimes</div>
<div class="line"> <span class="keywordtype">double</span> LongTermCorr</div>
<div class="line"> <span class="keywordtype">double</span> Beta</div>
<div class="line"> <span class="keywordtype">double</span> Gamma</div>
<div class="line"> <span class="keywordtype">double</span> Time</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Returns the correlation matrix (time dependent long term + beta + gamma exponential functional form).</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel, Calc</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">RateTimes</td><td>rate fixing times. </td></tr>
<tr><td class="paramname">LongTermCorr</td><td>Long term correlation . Default value = 0.0. </td></tr>
<tr><td class="paramname">Beta</td><td>exponential decay factor. Default value = 0.24. </td></tr>
<tr><td class="paramname">Gamma</td><td>exponent for time to go. Default value = 0.333. </td></tr>
<tr><td class="paramname">Time</td><td>time t . </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlExponentialForwardCorrelation"></a><b>qlExponentialForwardCorrelation</b> </p><div class="fragment"><div class="line"><span class="keywordtype">string</span> returnValue</div>
<div class="line"> </div>
<div class="line">qlExponentialForwardCorrelation(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> vector<double> RateTimes</div>
<div class="line"> <span class="keywordtype">double</span> LongTermCorr</div>
<div class="line"> <span class="keywordtype">double</span> Beta</div>
<div class="line"> <span class="keywordtype">double</span> Gamma</div>
<div class="line"> vector<double> Times</div>
<div class="line"> <span class="keywordtype">bool</span> Permanent</div>
<div class="line"> any Trigger</div>
<div class="line"> <span class="keywordtype">bool</span> Overwrite)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Construct an object of class ExponentialForwardCorrelation and return its id</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel, C++, Calc</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of object to be created </td></tr>
<tr><td class="paramname">RateTimes</td><td>rate times. </td></tr>
<tr><td class="paramname">LongTermCorr</td><td>Long term correlation . </td></tr>
<tr><td class="paramname">Beta</td><td>exponential decay factor. </td></tr>
<tr><td class="paramname">Gamma</td><td>exponent for time to go. </td></tr>
<tr><td class="paramname">Times</td><td>times. </td></tr>
<tr><td class="paramname">Permanent</td><td>object permanent/nonpermanent </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger </td></tr>
<tr><td class="paramname">Overwrite</td><td>overwrite flag</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlHistoricalForwardRatesAnalysis"></a><b>qlHistoricalForwardRatesAnalysis</b> </p><div class="fragment"><div class="line"><span class="keywordtype">string</span> returnValue</div>
<div class="line"> </div>
<div class="line">qlHistoricalForwardRatesAnalysis(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> <span class="keywordtype">string</span> SequenceStats</div>
<div class="line"> <span class="keywordtype">long</span> StartDate</div>
<div class="line"> <span class="keywordtype">long</span> EndDate</div>
<div class="line"> <span class="keywordtype">string</span> Step</div>
<div class="line"> <span class="keywordtype">string</span> IborIndex</div>
<div class="line"> <span class="keywordtype">string</span> InitialGap</div>
<div class="line"> <span class="keywordtype">string</span> Horizon</div>
<div class="line"> vector<string> IborIndexes</div>
<div class="line"> vector<string> SwapIndexes</div>
<div class="line"> <span class="keywordtype">string</span> DayCounter</div>
<div class="line"> <span class="keywordtype">string</span> TraitsID</div>
<div class="line"> <span class="keywordtype">string</span> InterpolatorID</div>
<div class="line"> <span class="keywordtype">double</span> BootstrapAccuracy</div>
<div class="line"> <span class="keywordtype">bool</span> Permanent</div>
<div class="line"> any Trigger</div>
<div class="line"> <span class="keywordtype">bool</span> Overwrite)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Construct an object of class HistoricalForwardRatesAnalysis and return its id</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel, C++</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of object to be created </td></tr>
<tr><td class="paramname">SequenceStats</td><td>Sequence Statistics object ID. </td></tr>
<tr><td class="paramname">StartDate</td><td>beginning of the time series. </td></tr>
<tr><td class="paramname">EndDate</td><td>end of the time series. </td></tr>
<tr><td class="paramname">Step</td><td>time series' time step. </td></tr>
<tr><td class="paramname">IborIndex</td><td>floating rate index. </td></tr>
<tr><td class="paramname">InitialGap</td><td>initialGap. </td></tr>
<tr><td class="paramname">Horizon</td><td>bootstrap horizon. </td></tr>
<tr><td class="paramname">IborIndexes</td><td>Ibor indexes. </td></tr>
<tr><td class="paramname">SwapIndexes</td><td>Swap indexes. </td></tr>
<tr><td class="paramname">DayCounter</td><td>yield curve DayCounter ID. Default value = Actual/365 (Fixed). </td></tr>
<tr><td class="paramname">TraitsID</td><td>Discount, ZeroYield, or ForwardRate. Default value = Discount. </td></tr>
<tr><td class="paramname">InterpolatorID</td><td>Linear, LogLinear, or CubicSpline. Default value = CubicSpline. </td></tr>
<tr><td class="paramname">BootstrapAccuracy</td><td>boostrap accuracy. Default value = 1.0e-12. </td></tr>
<tr><td class="paramname">Permanent</td><td>object permanent/nonpermanent </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger </td></tr>
<tr><td class="paramname">Overwrite</td><td>overwrite flag</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlHistoricalForwardRatesAnalysisFailedDates"></a><b>qlHistoricalForwardRatesAnalysisFailedDates</b> </p><div class="fragment"><div class="line">vector<long> returnValue</div>
<div class="line"> </div>
<div class="line">qlHistoricalForwardRatesAnalysisFailedDates(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Returns vector of dates for which forward rates could not be calculated.</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of existing QuantLib::HistoricalForwardRatesAnalysis object </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlHistoricalForwardRatesAnalysisFailedDatesErrorMessage"></a><b>qlHistoricalForwardRatesAnalysisFailedDatesErrorMessage</b> </p><div class="fragment"><div class="line">vector<string> returnValue</div>
<div class="line"> </div>
<div class="line">qlHistoricalForwardRatesAnalysisFailedDatesErrorMessage(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Returns vector of error messages for dates on which forward rates could not be calculated.</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of existing QuantLib::HistoricalForwardRatesAnalysis object </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlHistoricalForwardRatesAnalysisFixingPeriods"></a><b>qlHistoricalForwardRatesAnalysisFixingPeriods</b> </p><div class="fragment"><div class="line">vector<string> returnValue</div>
<div class="line"> </div>
<div class="line">qlHistoricalForwardRatesAnalysisFixingPeriods(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Returns the forward rates time grid.</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of existing QuantLib::HistoricalForwardRatesAnalysis object </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlHistoricalForwardRatesAnalysisSkippedDates"></a><b>qlHistoricalForwardRatesAnalysisSkippedDates</b> </p><div class="fragment"><div class="line">vector<long> returnValue</div>
<div class="line"> </div>
<div class="line">qlHistoricalForwardRatesAnalysisSkippedDates(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Returns vector of historic dates for which some fixing is missing.</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of existing QuantLib::HistoricalForwardRatesAnalysis object </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlHistoricalForwardRatesAnalysisSkippedDatesErrorMessage"></a><b>qlHistoricalForwardRatesAnalysisSkippedDatesErrorMessage</b> </p><div class="fragment"><div class="line">vector<string> returnValue</div>
<div class="line"> </div>
<div class="line">qlHistoricalForwardRatesAnalysisSkippedDatesErrorMessage(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Returns vector of error messages for historic dates with missing fixing.</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of existing QuantLib::HistoricalForwardRatesAnalysis object </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlHistoricalRatesAnalysis"></a><b>qlHistoricalRatesAnalysis</b> </p><div class="fragment"><div class="line"><span class="keywordtype">string</span> returnValue</div>
<div class="line"> </div>
<div class="line">qlHistoricalRatesAnalysis(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> <span class="keywordtype">string</span> SequenceStats</div>
<div class="line"> <span class="keywordtype">long</span> StartDate</div>
<div class="line"> <span class="keywordtype">long</span> EndDate</div>
<div class="line"> <span class="keywordtype">string</span> Step</div>
<div class="line"> vector<string> InterestRateIndexes</div>
<div class="line"> <span class="keywordtype">bool</span> Permanent</div>
<div class="line"> any Trigger</div>
<div class="line"> <span class="keywordtype">bool</span> Overwrite)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Construct an object of class HistoricalRatesAnalysis and return its id</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel, C++</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of object to be created </td></tr>
<tr><td class="paramname">SequenceStats</td><td>Sequence Statistics object ID. </td></tr>
<tr><td class="paramname">StartDate</td><td>beginning of the time series. </td></tr>
<tr><td class="paramname">EndDate</td><td>end of the time series. </td></tr>
<tr><td class="paramname">Step</td><td>time series' time step. </td></tr>
<tr><td class="paramname">InterestRateIndexes</td><td>interest rate indexes object IDs. </td></tr>
<tr><td class="paramname">Permanent</td><td>object permanent/nonpermanent </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger </td></tr>
<tr><td class="paramname">Overwrite</td><td>overwrite flag</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlHistoricalRatesAnalysisSkippedDates"></a><b>qlHistoricalRatesAnalysisSkippedDates</b> </p><div class="fragment"><div class="line">vector<long> returnValue</div>
<div class="line"> </div>
<div class="line">qlHistoricalRatesAnalysisSkippedDates(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Returns vector of historic dates for which some fixing is missing.</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of existing QuantLib::HistoricalRatesAnalysis object </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlHistoricalRatesAnalysisSkippedDatesErrorMessage"></a><b>qlHistoricalRatesAnalysisSkippedDatesErrorMessage</b> </p><div class="fragment"><div class="line">vector<string> returnValue</div>
<div class="line"> </div>
<div class="line">qlHistoricalRatesAnalysisSkippedDatesErrorMessage(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Returns vector of error messages for historic dates with missing fixing.</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of existing QuantLib::HistoricalRatesAnalysis object </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlMarketModelLmLinearExponentialCorrelationModel"></a><b>qlMarketModelLmLinearExponentialCorrelationModel</b> </p><div class="fragment"><div class="line"><span class="keywordtype">string</span> returnValue</div>
<div class="line"> </div>
<div class="line">qlMarketModelLmLinearExponentialCorrelationModel(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> <span class="keywordtype">long</span> Size</div>
<div class="line"> <span class="keywordtype">double</span> Rho</div>
<div class="line"> <span class="keywordtype">double</span> Beta</div>
<div class="line"> <span class="keywordtype">long</span> Factors</div>
<div class="line"> <span class="keywordtype">bool</span> Permanent</div>
<div class="line"> any Trigger</div>
<div class="line"> <span class="keywordtype">bool</span> Overwrite)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Construct an object of class LmLinearExponentialCorrelationModel and return its id</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel, C++, Calc</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of object to be created </td></tr>
<tr><td class="paramname">Size</td><td>size. </td></tr>
<tr><td class="paramname">Rho</td><td>rho. </td></tr>
<tr><td class="paramname">Beta</td><td>beta. </td></tr>
<tr><td class="paramname">Factors</td><td>factors. Default value = QuantLib::Null<QuantLib::Size>(). </td></tr>
<tr><td class="paramname">Permanent</td><td>object permanent/nonpermanent </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger </td></tr>
<tr><td class="paramname">Overwrite</td><td>overwrite flag</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlPiecewiseConstantCorrelationCorrelation"></a><b>qlPiecewiseConstantCorrelationCorrelation</b> </p><div class="fragment"><div class="line">vector<vector<double> > returnValue</div>
<div class="line"> </div>
<div class="line">qlPiecewiseConstantCorrelationCorrelation(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> <span class="keywordtype">long</span> TimeIndex</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Returns the pseudo-root of the equivalent covariance swap rates matrix.</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel, Calc</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of existing QuantLib::PiecewiseConstantCorrelation object </td></tr>
<tr><td class="paramname">TimeIndex</td><td>time index. </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlPiecewiseConstantCorrelationNumberOfRates"></a><b>qlPiecewiseConstantCorrelationNumberOfRates</b> </p><div class="fragment"><div class="line"><span class="keywordtype">long</span> returnValue</div>
<div class="line"> </div>
<div class="line">qlPiecewiseConstantCorrelationNumberOfRates(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Piecewise Constant Correlation Number of Rates.</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel, Calc</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of existing QuantLib::PiecewiseConstantCorrelation object </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlPiecewiseConstantCorrelationTimes"></a><b>qlPiecewiseConstantCorrelationTimes</b> </p><div class="fragment"><div class="line">vector<double> returnValue</div>
<div class="line"> </div>
<div class="line">qlPiecewiseConstantCorrelationTimes(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> any Trigger)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Piecewise Constant Correlation Times.</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel, Calc</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of existing QuantLib::PiecewiseConstantCorrelation object </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger</td></tr>
</table>
</dd>
</dl>
<p><a class="anchor" id="qlTimeHomogeneousForwardCorrelation"></a><b>qlTimeHomogeneousForwardCorrelation</b> </p><div class="fragment"><div class="line"><span class="keywordtype">string</span> returnValue</div>
<div class="line"> </div>
<div class="line">qlTimeHomogeneousForwardCorrelation(</div>
<div class="line"> <span class="keywordtype">string</span> ObjectId</div>
<div class="line"> vector<vector<double> > FwdCorrMatrix</div>
<div class="line"> vector<double> RateTimes</div>
<div class="line"> <span class="keywordtype">bool</span> Permanent</div>
<div class="line"> any Trigger</div>
<div class="line"> <span class="keywordtype">bool</span> Overwrite)</div>
</div><!-- fragment --> <dl class="section user"><dt>Description:</dt><dd></dd></dl>
<p>Construct an object of class TimeHomogeneousForwardCorrelation and return its id</p>
<dl class="section user"><dt>Supported Platforms:</dt><dd></dd></dl>
<p>Excel, Calc</p>
<dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">ObjectId</td><td>id of object to be created </td></tr>
<tr><td class="paramname">FwdCorrMatrix</td><td>forward correlation matrix. </td></tr>
<tr><td class="paramname">RateTimes</td><td>rate times. </td></tr>
<tr><td class="paramname">Permanent</td><td>object permanent/nonpermanent </td></tr>
<tr><td class="paramname">Trigger</td><td>dependency tracking trigger </td></tr>
<tr><td class="paramname">Overwrite</td><td>overwrite flag </td></tr>
</table>
</dd>
</dl>
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