PriceTermStructureAdapter Class Reference

Adapter class for turning a PriceTermStructure in to a YieldTermStructure. More...

#include <qle/termstructures/pricetermstructureadapter.hpp>

Inheritance diagram for PriceTermStructureAdapter:

Collaboration diagram for PriceTermStructureAdapter:

Public Member Functions
	PriceTermStructureAdapter (const QuantLib::ext::shared_ptr< PriceTermStructure > &priceCurve, const QuantLib::ext::shared_ptr< QuantLib::YieldTermStructure > &discount, QuantLib::Natural spotDays=0, const QuantLib::Calendar &spotCalendar=QuantLib::NullCalendar())
	PriceTermStructureAdapter (const QuantLib::ext::shared_ptr< PriceTermStructure > &priceCurve, const QuantLib::ext::shared_ptr< QuantLib::YieldTermStructure > &discount, const QuantLib::Handle< QuantLib::Quote > &spotQuote)
TermStructure interface
QuantLib::Date	maxDate () const override
const QuantLib::Date &	referenceDate () const override
QuantLib::DayCounter	dayCounter () const override
Inspectors
const QuantLib::ext::shared_ptr< PriceTermStructure > &	priceCurve () const
const QuantLib::ext::shared_ptr< QuantLib::YieldTermStructure > &	discount () const
QuantLib::Natural	spotDays () const
const QuantLib::Calendar &	spotCalendar () const

YieldTermStructure interface
QuantLib::ext::shared_ptr< PriceTermStructure >	priceCurve_
QuantLib::ext::shared_ptr< QuantLib::YieldTermStructure >	discount_
QuantLib::Natural	spotDays_
QuantLib::Calendar	spotCalendar_
QuantLib::Handle< QuantLib::Quote >	spotQuote_
QuantLib::DiscountFactor	discountImpl (QuantLib::Time t) const override

Detailed Description

Adapter class for turning a PriceTermStructure in to a YieldTermStructure.

This class takes a price term structure and an input yield curve and constructs a yield curve such that the discount factor \( P_p(0, t) \) at time \( t \) is given by:

\[ P_p(0, t) = \exp(-s(t) t) \]

where \( s(t) \) is defined by:

\[ \Pi(0, t) = S(0) \exp((z(t) - s(t)) t) \]

Here, \( \Pi(0, t) \) is the forward price of the underlying from the input price curve, \( S(0) \) is its spot price and \( z(t) \) is the continuously compounded zero rate from the input yield curve. The spot price is determined from the price curve at time 0 by default. There are optional parameters that allow using a price at a time other than 0 for the spot price.

Definition at line 52 of file pricetermstructureadapter.hpp.

Constructor & Destructor Documentation

PriceTermStructureAdapter() [1/2]

PriceTermStructureAdapter	(	const QuantLib::ext::shared_ptr< PriceTermStructure > &	priceCurve,
		const QuantLib::ext::shared_ptr< QuantLib::YieldTermStructure > &	discount,
		QuantLib::Natural	spotDays = 0,
		const QuantLib::Calendar &	spotCalendar = QuantLib::NullCalendar()
	)

PriceTermStructureAdapter() [2/2]

PriceTermStructureAdapter	(	const QuantLib::ext::shared_ptr< PriceTermStructure > &	priceCurve,
		const QuantLib::ext::shared_ptr< QuantLib::YieldTermStructure > &	discount,
		const QuantLib::Handle< QuantLib::Quote > &	spotQuote
	)

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 53 of file pricetermstructureadapter.cpp.

                                              {
    // Take the min of the two underlying curves' max date
    // Extrapolation will be determined by each underlying curve individually
    return min(priceCurve_->maxDate(), discount_->maxDate());
}

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referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 59 of file pricetermstructureadapter.cpp.

                                                           {
    QL_REQUIRE(
        priceCurve_->referenceDate() == discount_->referenceDate(),
        "PriceTermStructureAdapter: The reference date of the discount curve and price curve should be the same");
    return priceCurve_->referenceDate();
}

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 66 of file pricetermstructureadapter.cpp.

{ return priceCurve_->dayCounter(); }

priceCurve()

const QuantLib::ext::shared_ptr< PriceTermStructure > & priceCurve

(

)

const

Definition at line 68 of file pricetermstructureadapter.cpp.

{ return priceCurve_; }

discount()

const QuantLib::ext::shared_ptr< YieldTermStructure > & discount

(

)

const

Definition at line 70 of file pricetermstructureadapter.cpp.

{ return discount_; }

spotDays()

Natural spotDays

(

)

const

Definition at line 72 of file pricetermstructureadapter.cpp.

{ return spotDays_; }

spotCalendar()

const Calendar & spotCalendar

(

)

const

Definition at line 74 of file pricetermstructureadapter.cpp.

{ return spotCalendar_; }

discountImpl()

DiscountFactor discountImpl ( QuantLib::Time  t ) const

overrideprotected

Definition at line 76 of file pricetermstructureadapter.cpp.

                                                                   {
    if (t == 0.0)
        return 1.0;
    // Returns discount factor exp(-s(t) * t) where s(t) is defined such that
    // FP(0, t) = S(0) exp([z(t) - s(t)] t)
    Real spotPrice;
    if (spotQuote_.empty()) {
        Time spotTime = timeFromReference(spotCalendar_.advance(referenceDate(), spotDays_ * Days));
        spotPrice = priceCurve_->price(spotTime, true);
    } else {
        spotPrice = spotQuote_->value();
    }
    Real forwardPrice = priceCurve_->price(t, true);
    DiscountFactor discount = discount_->discount(t, true);
    return discount * forwardPrice / spotPrice;
}

Member Data Documentation

priceCurve_

QuantLib::ext::shared_ptr<PriceTermStructure> priceCurve_

private

Definition at line 87 of file pricetermstructureadapter.hpp.

discount_

QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure> discount_

private

Definition at line 88 of file pricetermstructureadapter.hpp.

spotDays_

QuantLib::Natural spotDays_

private

Definition at line 89 of file pricetermstructureadapter.hpp.

spotCalendar_

QuantLib::Calendar spotCalendar_

private

Definition at line 90 of file pricetermstructureadapter.hpp.

spotQuote_

QuantLib::Handle<QuantLib::Quote> spotQuote_

private

Definition at line 91 of file pricetermstructureadapter.hpp.