SpreadedDiscountCurve Class Reference

#include <qle/termstructures/spreadeddiscountcurve.hpp>

Inheritance diagram for SpreadedDiscountCurve:

Collaboration diagram for SpreadedDiscountCurve:

Public Types
enum class	Interpolation { logLinear , linearZero }
enum class	Extrapolation { flatFwd , flatZero }

Public Member Functions
	SpreadedDiscountCurve (const Handle< YieldTermStructure > &referenceCurve, const std::vector< Time > &times, const std::vector< Handle< Quote > > &quotes, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	times should be consistent with reference ts day counter More...
Date	maxDate () const override
void	update () override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override

Protected Member Functions
void	performCalculations () const override
DiscountFactor	discountImpl (Time t) const override

Private Attributes
Handle< YieldTermStructure >	referenceCurve_
std::vector< Time >	times_
std::vector< Handle< Quote > >	quotes_
Interpolation	interpolation_
Extrapolation	extrapolation_
std::vector< Real >	data_
QuantLib::ext::shared_ptr< QuantLib::Interpolation >	dataInterpolation_

Detailed Description

Curve taking a reference curve and discount factor quotes, that are used to overlay the reference curve with a spread. The quotes are interpolated loglinearly. The spread curve is given in terms of times relative to the reference date, which means that the spread will float with a changing reference date in the reference curve.

Definition at line 39 of file spreadeddiscountcurve.hpp.

Member Enumeration Documentation

Interpolation

enum class Interpolation

strong

Enumerator
logLinear
linearZero

Definition at line 41 of file spreadeddiscountcurve.hpp.

{ logLinear, linearZero };

Extrapolation

enum class Extrapolation

strong

Enumerator
flatFwd
flatZero

Definition at line 42 of file spreadeddiscountcurve.hpp.

{ flatFwd, flatZero };

Constructor & Destructor Documentation

SpreadedDiscountCurve()

SpreadedDiscountCurve	(	const Handle< YieldTermStructure > &	referenceCurve,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	quotes,
		const Interpolation	interpolation = Interpolation::logLinear,
		const Extrapolation	extrapolation = Extrapolation::flatFwd
	)

times should be consistent with reference ts day counter

Definition at line 25 of file spreadeddiscountcurve.cpp.

    : YieldTermStructure(referenceCurve->dayCounter()), referenceCurve_(referenceCurve), times_(times), quotes_(quotes),
      interpolation_(interpolation), extrapolation_(extrapolation), data_(times_.size(), 1.0) {
    QL_REQUIRE(times_.size() > 1, "SpreadedDiscountCurve: at least two times required");
    QL_REQUIRE(times_.size() == quotes.size(), "SpreadedDiscountCurve: size of time and quote vectors do not match");
    QL_REQUIRE(times_[0] == 0.0, "SpreadedDiscountCurve: first time must be 0, got " << times_[0]);
    for (Size i = 0; i < quotes.size(); ++i) {
        registerWith(quotes_[i]);
    }
    if (interpolation_ == Interpolation::logLinear) {
        dataInterpolation_ = QuantLib::ext::make_shared<LogLinearInterpolation>(times_.begin(), times_.end(), data_.begin());
    } else {
        dataInterpolation_ = QuantLib::ext::make_shared<LinearInterpolation>(times_.begin(), times_.end(), data_.begin());
    }
    dataInterpolation_->enableExtrapolation();
    registerWith(referenceCurve_);
}

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 45 of file spreadeddiscountcurve.cpp.

{ return referenceCurve_->maxDate(); }

update()

void update ( )

override

Definition at line 47 of file spreadeddiscountcurve.cpp.

                                   {
    LazyObject::update();
    TermStructure::update();
}

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 52 of file spreadeddiscountcurve.cpp.

{ return referenceCurve_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 54 of file spreadeddiscountcurve.cpp.

{ return referenceCurve_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 56 of file spreadeddiscountcurve.cpp.

{ return referenceCurve_->settlementDays(); }

performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 58 of file spreadeddiscountcurve.cpp.

                                                      {
    for (Size i = 0; i < times_.size(); ++i) {
        QL_REQUIRE(!quotes_[i].empty(), "SpreadedDiscountCurve: quote at index " << i << " is empty");
        data_[i] = quotes_[i]->value();
        QL_REQUIRE(data_[i] > 0, "SpreadedDiscountCurve: invalid value " << data_[i] << " at index " << i);
    }
    if (interpolation_ == Interpolation::linearZero) {
        for (Size i = 0; i < times_.size(); ++i) {
            data_[i] = -std::log(data_[std::max<Size>(i, 1)]) / times_[std::max<Size>(i, 1)];
        }
    }
    dataInterpolation_->update();
}

discountImpl()

DiscountFactor discountImpl ( Time  t ) const

overrideprotected

Definition at line 72 of file spreadeddiscountcurve.cpp.

                                                               {
    calculate();
    Time tMax = this->times_.back();
    DiscountFactor dMax =
        interpolation_ == Interpolation::logLinear ? this->data_.back() : std::exp(-this->data_.back() * tMax);
    if (t <= this->times_.back()) {
        Real tmp = (*dataInterpolation_)(t, true);
        if (interpolation_ == Interpolation::logLinear)
            return referenceCurve_->discount(t) * tmp;
        else
            return referenceCurve_->discount(t) * std::exp(-tmp * t);
    }
    if (extrapolation_ == Extrapolation::flatFwd) {
        Rate instFwdMax = -(*dataInterpolation_).derivative(tMax) / dMax;
        return referenceCurve_->discount(t) * dMax * std::exp(-instFwdMax * (t - tMax));
    } else {
        return referenceCurve_->discount(t) * std::pow(dMax, t / tMax);
    }
}

Member Data Documentation

referenceCurve_

Handle<YieldTermStructure> referenceCurve_

private

Definition at line 61 of file spreadeddiscountcurve.hpp.

times_

std::vector<Time> times_

private

Definition at line 62 of file spreadeddiscountcurve.hpp.

quotes_

std::vector<Handle<Quote> > quotes_

private

Definition at line 63 of file spreadeddiscountcurve.hpp.

interpolation_

Interpolation interpolation_

private

Definition at line 64 of file spreadeddiscountcurve.hpp.

extrapolation_

Extrapolation extrapolation_

private

Definition at line 65 of file spreadeddiscountcurve.hpp.

data_

std::vector<Real> data_

mutableprivate

Definition at line 66 of file spreadeddiscountcurve.hpp.

dataInterpolation_

QuantLib::ext::shared_ptr<QuantLib::Interpolation> dataInterpolation_

private

Definition at line 67 of file spreadeddiscountcurve.hpp.