Model[Cor Curve]


"Model[Cor Curve]" is a special type of Model
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with functions Model[Cor Curve] Functions, keys Model[Cor Curve] keys and example object CorCrvMdl

TYPE INCLUSION RELATIONSHIPS

Model Valuation

Model Cor Curve

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Delta Mode

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TYPICAL OBJECTS OF TYPE Model[Cor Curve]

CorCrvMdl

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This type represents modelling assumptions relating to the type Cor Curve that may be needed during some valuation algorithm.
In particular, it supplies the shift sizes of the various market data involved in delta sensitivity calculations.
All that is required, is the presence of a "Model[Cor Curve]" object in the input model collection of the valuation routine.
Specifically, the Delta Mode entry determines how the market data must be shifted.
The Delta Shift entry defines the shift amount.