PiecewisePriceCurve< Interpolator, Bootstrap > Class Template Reference

Piecewise price term structure. More...

#include <qle/termstructures/piecewisepricecurve.hpp>

Inheritance diagram for PiecewisePriceCurve< Interpolator, Bootstrap >:

Collaboration diagram for PiecewisePriceCurve< Interpolator, Bootstrap >:

Public Types
typedef PiecewisePriceCurve< Interpolator, Bootstrap >	this_curve
typedef QuantLib::BootstrapHelper< PriceTermStructure >	helper
typedef PriceTraits	traits_type
typedef Interpolator	interpolator_type

Public Member Functions
Constructors
	PiecewisePriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::ext::shared_ptr< helper > > &instruments, const QuantLib::DayCounter &dayCounter, const QuantLib::Currency &currency, const Interpolator &i=Interpolator(), const Bootstrap< this_curve > &bootstrap=Bootstrap< this_curve >())
TermStructure interface
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
PriceTermStructure interface
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values. More...
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure. More...
InterpolatedPriceCurve interface
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Real > &	prices () const
const QuantLib::ext::shared_ptr< helper > &	instrument (QuantLib::Size i) const
	Return the i-th instrument. More...
Public Member Functions inherited from InterpolatedPriceCurve< Interpolator >
	InterpolatedPriceCurve (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from periods and prices. No conventions are applied in getting to a date from a period. More...
	InterpolatedPriceCurve (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Handle< QuantLib::Quote > > &quotes, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from periods and quotes. No conventions are applied in getting to a date from a period. More...
	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from dates and prices. More...
	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Handle< QuantLib::Quote > > &quotes, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from dates and quotes. More...
void	update () override
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values. More...
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure. More...
const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed. More...
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Real > &	prices () const
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

Private Types
typedef InterpolatedPriceCurve< Interpolator >	base_curve

Private Member Functions
LazyObject interface
void	performCalculations () const override

PriceTermStructure implementation
std::vector< QuantLib::ext::shared_ptr< helper > >	instruments_
Real	accuracy_
Bootstrap< this_curve >	bootstrap_
class	Bootstrap< this_curve >
class	BootstrapError< this_curve >
class	PenaltyFunction< this_curve >
QuantLib::Real	priceImpl (QuantLib::Time t) const override
	Price calculation. More...

Additional Inherited Members
Protected Member Functions inherited from InterpolatedPriceCurve< Interpolator >
void	performCalculations () const override
QuantLib::Real	priceImpl (QuantLib::Time t) const override
	Price calculation. More...
	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Used by PiecewisePriceCurve. More...
Protected Member Functions inherited from PriceTermStructure
void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange. More...
Protected Attributes inherited from InterpolatedPriceCurve< Interpolator >
std::vector< QuantLib::Date >	dates_

Detailed Description

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap>
class QuantExt::PiecewisePriceCurve< Interpolator, Bootstrap >

Piecewise price term structure.

This term structure is bootstrapped on a number of instruments which are passed as a vector of handles to PriceHelper instances. Their maturities mark the boundaries of the interpolated segments.

Each segment is determined sequentially starting from the earliest period to the latest and is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve.

Warning:

The bootstrapping algorithm raises an exception if any two instruments have the same maturity date.

Definition at line 99 of file piecewisepricecurve.hpp.

Member Typedef Documentation

base_curve

typedef InterpolatedPriceCurve<Interpolator> base_curve

private

Definition at line 102 of file piecewisepricecurve.hpp.

this_curve

typedef PiecewisePriceCurve<Interpolator, Bootstrap> this_curve

Definition at line 105 of file piecewisepricecurve.hpp.

helper

typedef QuantLib::BootstrapHelper<PriceTermStructure> helper

Definition at line 106 of file piecewisepricecurve.hpp.

traits_type

typedef PriceTraits traits_type

Definition at line 107 of file piecewisepricecurve.hpp.

interpolator_type

typedef Interpolator interpolator_type

Definition at line 108 of file piecewisepricecurve.hpp.

Constructor & Destructor Documentation

PiecewisePriceCurve()

PiecewisePriceCurve	(	const QuantLib::Date &	referenceDate,
		const std::vector< QuantLib::ext::shared_ptr< helper > > &	instruments,
		const QuantLib::DayCounter &	dayCounter,
		const QuantLib::Currency &	currency,
		const Interpolator &	i = Interpolator(),
		const Bootstrap< this_curve > &	bootstrap = Bootstrap<this_curve>()
	)

Definition at line 162 of file piecewisepricecurve.hpp.

    : base_curve(referenceDate, dayCounter, currency, i), instruments_(instruments),
      accuracy_(1e-12), bootstrap_(bootstrap) {
 
    // Ensure that the instruments are sorted and that they are all alive i.e. pillar > reference date.
    // Need this because of the way that we have set up PriceTraits.
    std::sort(instruments_.begin(), instruments_.end(), QuantLib::detail::BootstrapHelperSorter());
 
    auto it = std::find_if(instruments_.begin(), instruments_.end(), 
        [&referenceDate](const QuantLib::ext::shared_ptr<helper>& inst) { return inst->pillarDate() > referenceDate; });
    QL_REQUIRE(it != instruments_.end(), "PiecewisePriceCurve: all instruments are expired.");
    if (it != instruments_.begin()) {
        instruments_.erase(instruments_.begin(), it);
    }
 
    bootstrap_.setup(this);
}

Member Function Documentation

maxDate()

QuantLib::Date maxDate

override

Definition at line 187 of file piecewisepricecurve.hpp.

                                                                         {
    this->calculate();
    return base_curve::maxDate();
}

maxTime()

QuantLib::Time maxTime

override

Definition at line 193 of file piecewisepricecurve.hpp.

                                                                         {
    this->calculate();
    return base_curve::maxTime();
}

minTime()

QuantLib::Time minTime

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from PriceTermStructure.

Definition at line 199 of file piecewisepricecurve.hpp.

                                                                         {
    this->calculate();
    return base_curve::minTime();
}

pillarDates()

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

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.

Definition at line 205 of file piecewisepricecurve.hpp.

                                                                                        {
    this->calculate();
    return base_curve::pillarDates();
}

times()

const std::vector< QuantLib::Time > & times

Definition at line 211 of file piecewisepricecurve.hpp.

                                                                                         {
    this->calculate();
    return base_curve::times();
}

prices()

const std::vector< QuantLib::Real > & prices

Definition at line 217 of file piecewisepricecurve.hpp.

                                                                                          {
    this->calculate();
    return base_curve::prices();
}

instrument()

const QuantLib::ext::shared_ptr< QuantLib::BootstrapHelper< PriceTermStructure > > & instrument

(

QuantLib::Size

i

)

const

Return the i-th instrument.

Definition at line 224 of file piecewisepricecurve.hpp.

                                                                             {
    QL_REQUIRE(i < instruments_.size(), "Index (" << i << ") greater than the number of instruments (" <<
        instruments_.size() << ").");
    return instruments_[i];
}

performCalculations()

void performCalculations

overrideprivate

Definition at line 231 of file piecewisepricecurve.hpp.

                                                                             {
    bootstrap_.calculate();
    base_curve::performCalculations();
}

priceImpl()

QuantLib::Real priceImpl ( QuantLib::Time  ) const

overrideprivatevirtual

Price calculation.

Implements PriceTermStructure.

Definition at line 237 of file piecewisepricecurve.hpp.

                                                                                         {
    this->calculate();
    return base_curve::priceImpl(t);
}

Friends And Related Function Documentation

Bootstrap< this_curve >

friend class Bootstrap< this_curve >

friend

Definition at line 153 of file piecewisepricecurve.hpp.

BootstrapError< this_curve >

friend class BootstrapError< this_curve >

friend

Definition at line 153 of file piecewisepricecurve.hpp.

PenaltyFunction< this_curve >

friend class PenaltyFunction< this_curve >

friend

Definition at line 153 of file piecewisepricecurve.hpp.

Member Data Documentation

instruments_

std::vector<QuantLib::ext::shared_ptr<helper> > instruments_

private

Definition at line 152 of file piecewisepricecurve.hpp.

accuracy_

Real accuracy_

private

Definition at line 153 of file piecewisepricecurve.hpp.

bootstrap_

Bootstrap<this_curve> bootstrap_

private

Definition at line 158 of file piecewisepricecurve.hpp.