ModelImpliedYieldTermStructure Class Reference

IR Implied Yield Term Structure. More...

#include <qle/models/modelimpliedyieldtermstructure.hpp>

Inheritance diagram for ModelImpliedYieldTermStructure:

Collaboration diagram for ModelImpliedYieldTermStructure:

Public Member Functions
	ModelImpliedYieldTermStructure (const QuantLib::ext::shared_ptr< IrModel > &model, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false)
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
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

Protected Member Functions
Real	discountImpl (Time t) const override

Protected Attributes
const QuantLib::ext::shared_ptr< IrModel >	model_
const bool	purelyTimeBased_
Date	referenceDate_
Real	relativeTime_
Array	state_

Detailed Description

IR Implied Yield 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 modelimpliedyieldtermstructure.hpp.

Constructor & Destructor Documentation

ModelImpliedYieldTermStructure()

ModelImpliedYieldTermStructure	(	const QuantLib::ext::shared_ptr< IrModel > &	model,
		const DayCounter &	dc = DayCounter(),
		const bool	purelyTimeBased = false
	)

Definition at line 23 of file modelimpliedyieldtermstructure.cpp.

    : YieldTermStructure(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 116 of file modelimpliedyieldtermstructure.hpp.

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

maxTime()

Time maxTime ( ) const

override

Definition at line 122 of file modelimpliedyieldtermstructure.hpp.

                                                          {
    // see maxDate
    return QL_MAX_REAL;
}

referenceDate() [1/2]

const Date & referenceDate ( ) const

override

Definition at line 127 of file modelimpliedyieldtermstructure.hpp.

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

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referenceDate() [2/2]

void referenceDate ( const Date &  d )

virtual

Reimplemented in ModelImpliedYtsFwdFwdCorrected.

Definition at line 133 of file modelimpliedyieldtermstructure.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

Reimplemented in ModelImpliedYtsFwdFwdCorrected.

Definition at line 147 of file modelimpliedyieldtermstructure.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 161 of file modelimpliedyieldtermstructure.hpp.

                                                                {
    state_ = s;
    notifyObservers();
}

move() [1/2]

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

Definition at line 166 of file modelimpliedyieldtermstructure.hpp.

                                                                              {
    state_ = s;
    referenceDate(d);
}

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move() [2/2]

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

Definition at line 171 of file modelimpliedyieldtermstructure.hpp.

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

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update()

void update ( )

overridevirtual

Definition at line 177 of file modelimpliedyieldtermstructure.hpp.

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

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discountImpl()

Real discountImpl ( Time  t ) const

overrideprotected

Definition at line 184 of file modelimpliedyieldtermstructure.hpp.

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

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Member Data Documentation

model_

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

protected

Definition at line 67 of file modelimpliedyieldtermstructure.hpp.

purelyTimeBased_

const bool purelyTimeBased_

protected

Definition at line 68 of file modelimpliedyieldtermstructure.hpp.

referenceDate_

Date referenceDate_

protected

Definition at line 69 of file modelimpliedyieldtermstructure.hpp.

relativeTime_

Real relativeTime_

protected

Definition at line 70 of file modelimpliedyieldtermstructure.hpp.

state_

Array state_

protected

Definition at line 71 of file modelimpliedyieldtermstructure.hpp.