#include <qle/termstructures/flatforwarddividendcurve.hpp>

Inheritance diagram for FlatForwardDividendCurve:

Collaboration diagram for FlatForwardDividendCurve:

Public Member Functions
	FlatForwardDividendCurve (const Date &asof, const Handle< YieldTermStructure > &dividendCurve, const Handle< YieldTermStructure > &forecastCurve)

Date	maxDate () const override

DiscountFactor	discountImpl (Time) const override

Private Attributes
Handle< YieldTermStructure >	dividendCurve_

Handle< YieldTermStructure >	forecastCurve_

Detailed Description

Definition at line 32 of file flatforwarddividendcurve.hpp.

Constructor & Destructor Documentation

◆ FlatForwardDividendCurve()

FlatForwardDividendCurve	(	const Date &	asof,
		const Handle< YieldTermStructure > &	dividendCurve,
		const Handle< YieldTermStructure > &	forecastCurve
	)

Definition at line 34 of file flatforwarddividendcurve.hpp.

36 : YieldTermStructure(asof, dividendCurve->calendar(), dividendCurve->dayCounter()), dividendCurve_(dividendCurve),

37 forecastCurve_(forecastCurve) {}

QuantExt::FlatForwardDividendCurve::dividendCurve_

Handle< YieldTermStructure > dividendCurve_

Definition: flatforwarddividendcurve.hpp:43

QuantExt::FlatForwardDividendCurve::forecastCurve_

Handle< YieldTermStructure > forecastCurve_

Definition: flatforwarddividendcurve.hpp:44

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 23 of file flatforwarddividendcurve.cpp.

23 {

24 return Date::maxDate(); }

◆ discountImpl()

DiscountFactor discountImpl ( Time t ) const

override

Definition at line 26 of file flatforwarddividendcurve.cpp.

                                                                  {
    Time maxTime = dividendCurve_->maxTime();
    if (t > maxTime) {
        if (allowsExtrapolation())
            return dividendCurve_->discount(maxTime) / forecastCurve_->discount(maxTime) * forecastCurve_->discount(t);
        else
            return dividendCurve_->discount(maxTime);
    }
 
    return dividendCurve_->discount(t); 
}

Member Data Documentation

◆ dividendCurve_

Handle<YieldTermStructure> dividendCurve_

private

Definition at line 43 of file flatforwarddividendcurve.hpp.

◆ forecastCurve_

Handle<YieldTermStructure> forecastCurve_