BondYieldShiftedCurveTermStructure Class Reference

#include <qle/termstructures/bondyieldshiftedcurvetermstructure.hpp>

Inheritance diagram for BondYieldShiftedCurveTermStructure:

Collaboration diagram for BondYieldShiftedCurveTermStructure:

Public Member Functions
	BondYieldShiftedCurveTermStructure (const QuantLib::Handle< YieldTermStructure > &originalCurve, const Real &bondSpread, const Real &duration)
	BondYieldShiftedCurveTermStructure (const QuantLib::Handle< YieldTermStructure > &originalCurve, const std::vector< Real > &bondYields, const std::vector< Real > &bondDurations)

BondYieldShiftedCurveTermStructure interface
Handle< YieldTermStructure >	originalCurve_
Real	bondSpread_
Real	duration_
DayCounter	dayCounter () const override
Calendar	calendar () const override
Natural	settlementDays () const override
const Date &	referenceDate () const override
Date	maxDate () const override
Real	bondSpread () const
Real	duration () const
DiscountFactor	discountImpl (Time) const override

Detailed Description

The given date will be the implied reference date.

Note

This term structure will be linked to the original curve and the bond spread, i.e., any changes in the latter will be reflected in this structure as well.

Definition at line 40 of file bondyieldshiftedcurvetermstructure.hpp.

Constructor & Destructor Documentation

BondYieldShiftedCurveTermStructure() [1/2]

BondYieldShiftedCurveTermStructure	(	const QuantLib::Handle< YieldTermStructure > &	originalCurve,
		const Real &	bondSpread,
		const Real &	duration
	)

Definition at line 42 of file bondyieldshiftedcurvetermstructure.hpp.

        : YieldTermStructure(originalCurve->dayCounter()), originalCurve_(originalCurve), bondSpread_(bondSpread), duration_(duration) {
        registerWith(originalCurve);
    }

BondYieldShiftedCurveTermStructure() [2/2]

BondYieldShiftedCurveTermStructure	(	const QuantLib::Handle< YieldTermStructure > &	originalCurve,
		const std::vector< Real > &	bondYields,
		const std::vector< Real > &	bondDurations
	)

Definition at line 49 of file bondyieldshiftedcurvetermstructure.hpp.

        : YieldTermStructure(originalCurve->dayCounter()), originalCurve_(originalCurve) {
        registerWith(originalCurve);
 
        QL_REQUIRE(bondYields.size() == bondDurations.size(),
                   "BondYieldShiftedCurveTermStructure: inconsistent lengths of yield and duration vectors ("
                       << bondYields.size() << " vs. " << bondDurations.size() << ")");
 
        QL_REQUIRE(bondYields.size() > 0, "at least one bondYield for shifting of the reference curve required.");
 
        accumulator_set<Real, stats<tag::mean>> spreadMean, durationMean;
 
        for (Size i = 0; i < bondYields.size(); ++i)  {
            //estimate spread at duration
            Real thisCrvRate = -std::log(originalCurve_->discount(static_cast<Real>(bondDurations[i])))/bondDurations[i];
            Real thisSpread = static_cast<Real>(bondYields[i]) - thisCrvRate;
 
            spreadMean(thisSpread);
            durationMean(bondDurations[i]);
        }
 
        bondSpread_ = mean(spreadMean);
        duration_ = mean(durationMean);
    }

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 98 of file bondyieldshiftedcurvetermstructure.hpp.

{ return originalCurve_->dayCounter(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 100 of file bondyieldshiftedcurvetermstructure.hpp.

{ return originalCurve_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 102 of file bondyieldshiftedcurvetermstructure.hpp.

{ return originalCurve_->settlementDays(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 110 of file bondyieldshiftedcurvetermstructure.hpp.

                                                                           {
    return originalCurve_->referenceDate();
}

maxDate()

Date maxDate ( ) const

override

Definition at line 104 of file bondyieldshiftedcurvetermstructure.hpp.

{ return originalCurve_->maxDate(); }

bondSpread()

Real bondSpread

(

)

const

Definition at line 106 of file bondyieldshiftedcurvetermstructure.hpp.

{ return bondSpread_; }

duration()

Real duration

(

)

const

Definition at line 108 of file bondyieldshiftedcurvetermstructure.hpp.

{ return duration_; }

discountImpl()

DiscountFactor discountImpl ( Time  t ) const

overrideprotected

Definition at line 114 of file bondyieldshiftedcurvetermstructure.hpp.

                                                                                   {
 
    if ((duration_ != Null<Real>()) && (bondSpread_ != Null<Real>())) {
 
        Real df = originalCurve_->discount(t) * std::exp(-t * bondSpread_);
 
        return df;
 
    } else {
            return originalCurve_->discount(t);
        }
 
    }

Member Data Documentation

originalCurve_

Handle<YieldTermStructure> originalCurve_

private

Definition at line 91 of file bondyieldshiftedcurvetermstructure.hpp.

bondSpread_

Real bondSpread_

private

Definition at line 92 of file bondyieldshiftedcurvetermstructure.hpp.

duration_

Real duration_

private

Definition at line 93 of file bondyieldshiftedcurvetermstructure.hpp.