PriceTermStructure Class Reference

Price term structure. More...

#include <qle/termstructures/pricetermstructure.hpp>

Inheritance diagram for PriceTermStructure:

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Public Member Functions
Constructors
	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())
Prices
QuantLib::Real	price (QuantLib::Time t, bool extrapolate=false) const
QuantLib::Real	price (const QuantLib::Date &d, bool extrapolate=false) const
Observer interface
void	update () override
virtual QuantLib::Time	minTime () const
	The minimum time for which the curve can return values. More...
virtual const QuantLib::Currency &	currency () const =0
	The currency in which prices are expressed. More...
virtual std::vector< QuantLib::Date >	pillarDates () const =0
	The pillar dates for the PriceTermStructure. More...

Protected Member Functions
Calculations
This method must be implemented in derived classes to perform the actual calculations.
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...

Detailed Description

Price term structure.

This abstract class defines the interface of concrete price term structures which will be derived from this one.

Definition at line 39 of file pricetermstructure.hpp.

Constructor & Destructor Documentation

PriceTermStructure() [1/3]

PriceTermStructure

(

const QuantLib::DayCounter &

dc = QuantLib::DayCounter()

)

Definition at line 25 of file pricetermstructure.cpp.

: TermStructure(dc) {}

PriceTermStructure() [2/3]

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

PriceTermStructure() [3/3]

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

Member Function Documentation

price() [1/2]

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

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price() [2/2]

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

update()

void update ( )

override

Definition at line 42 of file pricetermstructure.cpp.

{ TermStructure::update(); }

minTime()

Time minTime ( ) const

virtual

The minimum time for which the curve can return values.

Reimplemented in CommodityAverageBasisPriceCurve< Interpolator >, CommodityBasisPriceCurve< Interpolator >, CommodityBasisPriceCurveWrapper, CrossCurrencyPriceTermStructure, PiecewisePriceCurve< Interpolator, Bootstrap >, InterpolatedPriceCurve< Interpolator >, and SpreadedPriceTermStructure.

Definition at line 44 of file pricetermstructure.cpp.

                                       {
    // Default implementation
    return 0.0;
}

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currency()

virtual const QuantLib::Currency & currency ( ) const

pure virtual

The currency in which prices are expressed.

Implemented in ModelImpliedPriceTermStructure, CommodityAverageBasisPriceCurve< Interpolator >, CommodityBasisPriceCurve< Interpolator >, CommodityBasisPriceCurveWrapper, CrossCurrencyPriceTermStructure, InterpolatedPriceCurve< Interpolator >, and SpreadedPriceTermStructure.

pillarDates()

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

pure virtual

The pillar dates for the PriceTermStructure.

Implemented in ModelImpliedPriceTermStructure, CommodityAverageBasisPriceCurve< Interpolator >, CommodityBasisPriceCurve< Interpolator >, CommodityBasisPriceCurveWrapper, CrossCurrencyPriceTermStructure, PiecewisePriceCurve< Interpolator, Bootstrap >, InterpolatedPriceCurve< Interpolator >, and SpreadedPriceTermStructure.

priceImpl()

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

protectedpure virtual

Price calculation.

Implemented in CommodityAverageBasisPriceCurve< Interpolator >, CommodityBasisPriceCurve< Interpolator >, CommodityBasisPriceCurveWrapper, CrossCurrencyPriceTermStructure, PiecewisePriceCurve< Interpolator, Bootstrap >, InterpolatedPriceCurve< Interpolator >, and SpreadedPriceTermStructure.

checkRange()

void checkRange ( QuantLib::Time  t, bool  extrapolate  ) const

protected

Extra time range check for minimum time, then calls TermStructure::checkRange.

Definition at line 49 of file pricetermstructure.cpp.

                                                                  {
    QL_REQUIRE(extrapolate || allowsExtrapolation() || t >= minTime() || close_enough(t, minTime()),
               "time (" << t << ") is before min curve time (" << minTime() << ")");
 
    // Now, do the usual TermStructure checks
    TermStructure::checkRange(t, extrapolate);
}

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