Cor Curve


Cor Curve is a direct subtype of Valuation
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with functions Cor Curve Functions, keys Cor Curve keys and example object CorCrv

TYPE INCLUSION RELATIONSHIPS

Valuation

Cor Curve

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Cor Matrices

Cor Ref

Cors

Dates

Flat Cor

Flat Cor Matrix

Use Flat Cor

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TYPICAL OBJECTS OF TYPE Cor Curve

CorCrv

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This type represents what practitioners understand under market available correlation information for all maturities.
In Deriscope terminology, it holds the value of a specific Quotable object of type Cor Group.
As such, it is associated with a pair of fixed Quotables and can be used to retrieve the associated correlation for any maturity date.
Several different definitions of correlation are supported as described in Cor Type