COM Implied Price Term Structure. More...

#include <qle/models/modelimpliedpricetermstructure.hpp>

Inheritance diagram for ModelImpliedPriceTermStructure:

Collaboration diagram for ModelImpliedPriceTermStructure:

Public Member Functions
	ModelImpliedPriceTermStructure (const QuantLib::ext::shared_ptr< CommodityModel > &model, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false)

Date	maxDate () const override

Time	maxTime () const override

const Date &	referenceDate () const override

const QuantLib::Currency &	currency () const override
	Price term structure interface. More...

std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure. More...

virtual void	referenceDate (const Date &d)

virtual void	referenceTime (const Time t)

void	state (const Array &s)

void	move (const Date &d, const Array &s)

void	move (const Time t, const Array &s)

virtual void	update () override

Public Member Functions inherited from PriceTermStructure
	PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter())

	PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter())

	PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter())

QuantLib::Real	price (QuantLib::Time t, bool extrapolate=false) const

QuantLib::Real	price (const QuantLib::Date &d, bool extrapolate=false) const

void	update () override

virtual QuantLib::Time	minTime () const
	The minimum time for which the curve can return values. More...

Protected Member Functions
Real	priceImpl (Time t) const override

Protected Member Functions inherited from PriceTermStructure
virtual QuantLib::Real	priceImpl (QuantLib::Time) const =0
	Price calculation. More...

void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange. More...

Protected Attributes
const QuantLib::ext::shared_ptr< CommodityModel >	model_

const bool	purelyTimeBased_

Date	referenceDate_

Real	relativeTime_

Array	state_

Detailed Description

COM Implied Price Term Structure.

The termstructure has the reference date of the model's termstructure at construction, but you can vary this as well as the state. The purely time based variant is mainly there for perfomance reasons, note that it does not provide the full term structure interface and does not send notifications on reference time updates.

\ingroup models

Definition at line 46 of file modelimpliedpricetermstructure.hpp.

Constructor & Destructor Documentation

◆ ModelImpliedPriceTermStructure()

ModelImpliedPriceTermStructure	(	const QuantLib::ext::shared_ptr< CommodityModel > &	model,
		const DayCounter &	dc = `DayCounter()`,
		const bool	purelyTimeBased = `false`
	)

Definition at line 23 of file modelimpliedpricetermstructure.cpp.

    : PriceTermStructure(dc == DayCounter() ? model->termStructure()->dayCounter() : dc), model_(model),
      purelyTimeBased_(purelyTimeBased),
      referenceDate_(purelyTimeBased ? Null<Date>() : model_->termStructure()->referenceDate()),
      state_(Array(model->n(), 0.0)) {
    registerWith(model_);
    update();
}

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Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 80 of file modelimpliedpricetermstructure.hpp.

                                                          {
    // we don't care - let the underlying classes throw
    // exceptions if applicable
    return Date::maxDate();
}

◆ maxTime()

Time maxTime ( ) const

override

Definition at line 86 of file modelimpliedpricetermstructure.hpp.

                                                          {
    // see maxDate
    return QL_MAX_REAL;
}

◆ referenceDate() [1/2]

const Date & referenceDate ( ) const

override

Definition at line 91 of file modelimpliedpricetermstructure.hpp.

                                                                       {
    QL_REQUIRE(!purelyTimeBased_, "reference date not available for purely "
                                  "time based term structure");
    return referenceDate_;
}

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◆ currency()

const QuantLib::Currency & currency ( ) const

overridevirtual

Price term structure interface.

Implements PriceTermStructure.

Definition at line 57 of file modelimpliedpricetermstructure.hpp.

57{ return model_->currency(); }

◆ pillarDates()

std::vector< QuantLib::Date > pillarDates ( ) const

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.

Definition at line 58 of file modelimpliedpricetermstructure.hpp.

58{ return std::vector<QuantLib::Date>(); }

◆ referenceDate() [2/2]

void referenceDate ( const Date & d )

virtual

Definition at line 97 of file modelimpliedpricetermstructure.hpp.

                                                                       {
    QL_REQUIRE(!purelyTimeBased_, "reference date not available for purely "
                                  "time based term structure");
    referenceDate_ = d;
    update();
}

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◆ referenceTime()

void referenceTime ( const Time t )

virtual

Definition at line 105 of file modelimpliedpricetermstructure.hpp.

                                                                      {
    QL_REQUIRE(purelyTimeBased_, "reference time can only be set for purely "
                                 "time based term structure");
    relativeTime_ = t;
    notifyObservers();
}

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◆ state()

void state ( const Array & s )

Definition at line 112 of file modelimpliedpricetermstructure.hpp.

                                                                {
    state_ = s;
    notifyObservers();
}

◆ move() [1/2]

void move	(	const Date &	d,
		const Array &	s
	)

Definition at line 117 of file modelimpliedpricetermstructure.hpp.

                                                                              {
    state_ = s;
    referenceDate(d);
}

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◆ move() [2/2]

void move	(	const Time	t,
		const Array &	s
	)

Definition at line 122 of file modelimpliedpricetermstructure.hpp.

                                                                             {
    state_ = s;
    referenceTime(t);
    notifyObservers();
}

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◆ update()

void update ( )

overridevirtual

Definition at line 128 of file modelimpliedpricetermstructure.hpp.

                                                   {
    if (!purelyTimeBased_) {
        relativeTime_ = dayCounter().yearFraction(model_->termStructure()->referenceDate(), referenceDate_);
    }
    notifyObservers();
}

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◆ priceImpl()

Real priceImpl ( Time t ) const

overrideprotected

Definition at line 135 of file modelimpliedpricetermstructure.hpp.

                                                                  {
    QL_REQUIRE(t >= 0.0, "negative time (" << t << ") given");
    return model_->forwardPrice(relativeTime_, relativeTime_ + t, state_);
}

Member Data Documentation

◆ model_

const QuantLib::ext::shared_ptr<CommodityModel> model_

protected

Definition at line 71 of file modelimpliedpricetermstructure.hpp.

◆ purelyTimeBased_

const bool purelyTimeBased_

protected

Definition at line 72 of file modelimpliedpricetermstructure.hpp.

◆ referenceDate_

Date referenceDate_

protected

Definition at line 73 of file modelimpliedpricetermstructure.hpp.

◆ relativeTime_

Real relativeTime_

protected

Definition at line 74 of file modelimpliedpricetermstructure.hpp.

◆ state_

Array state_

protected

Definition at line 75 of file modelimpliedpricetermstructure.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ ModelImpliedPriceTermStructure()

Member Function Documentation

◆ maxDate()

◆ maxTime()

◆ referenceDate() [1/2]

◆ currency()

◆ pillarDates()

◆ referenceDate() [2/2]

◆ referenceTime()

◆ state()

◆ move() [1/2]

◆ move() [2/2]

◆ update()

◆ priceImpl()

Member Data Documentation

◆ model_

◆ purelyTimeBased_

◆ referenceDate_

◆ relativeTime_

◆ state_