Cor Curve


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