SpreadedPriceTermStructure Class Reference

Spreaded Price term structure. More...

#include <qle/termstructures/spreadedpricetermstructure.hpp>

Inheritance diagram for SpreadedPriceTermStructure:

Collaboration diagram for SpreadedPriceTermStructure:

Public Member Functions
	SpreadedPriceTermStructure (const QuantLib::Handle< PriceTermStructure > &referenceCurve, const std::vector< QuantLib::Real > &times, const std::vector< QuantLib::Handle< QuantLib::Quote > > &priceSpreads)
	times should be consistent with reference curve day counter More...
QuantLib::Date	maxDate () const override
void	update () override
const QuantLib::Date &	referenceDate () const override
QuantLib::Calendar	calendar () const override
QuantLib::Natural	settlementDays () const override
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values. More...
const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed. More...
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure. More...
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 Member Functions
void	performCalculations () const override
QuantLib::Real	priceImpl (QuantLib::Time) const override
	Price calculation. More...

Private Attributes
QuantLib::Handle< PriceTermStructure >	referenceCurve_
std::vector< QuantLib::Real >	times_
std::vector< QuantLib::Handle< QuantLib::Quote > >	priceSpreads_
std::vector< QuantLib::Real >	data_
QuantLib::ext::shared_ptr< QuantLib::Interpolation >	interpolation_

Additional Inherited Members
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...

Detailed Description

Spreaded Price term structure.

Definition at line 33 of file spreadedpricetermstructure.hpp.

Constructor & Destructor Documentation

SpreadedPriceTermStructure()

SpreadedPriceTermStructure	(	const QuantLib::Handle< PriceTermStructure > &	referenceCurve,
		const std::vector< QuantLib::Real > &	times,
		const std::vector< QuantLib::Handle< QuantLib::Quote > > &	priceSpreads
	)

times should be consistent with reference curve day counter

Definition at line 27 of file spreadedpricetermstructure.cpp.

    : PriceTermStructure(referenceCurve->dayCounter()), referenceCurve_(referenceCurve), times_(times),
      priceSpreads_(priceSpreads), data_(times.size()) {
    QL_REQUIRE(times_.size() > 1, "SpreadedPriceTermStructure: at least two times required");
    QL_REQUIRE(times_.size() == priceSpreads_.size(),
               "SpreadedPriceTermStructure: size of time and quote vectors do not match");
    QL_REQUIRE(times_[0] == 0.0, "SpreadedPriceTermStructure: first time must be 0, got " << times_[0]);
    for (auto const& q : priceSpreads_)
        registerWith(q);
    interpolation_ = QuantLib::ext::make_shared<FlatExtrapolation>(
        QuantLib::ext::make_shared<LinearInterpolation>(times_.begin(), times_.end(), data_.begin()));
    interpolation_->enableExtrapolation();
    registerWith(referenceCurve_);
}

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 44 of file spreadedpricetermstructure.cpp.

{ return referenceCurve_->maxDate(); }

update()

void update ( )

override

Definition at line 46 of file spreadedpricetermstructure.cpp.

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

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 51 of file spreadedpricetermstructure.cpp.

{ return referenceCurve_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 53 of file spreadedpricetermstructure.cpp.

{ return referenceCurve_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 55 of file spreadedpricetermstructure.cpp.

{ return referenceCurve_->settlementDays(); }

minTime()

QuantLib::Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from PriceTermStructure.

Definition at line 57 of file spreadedpricetermstructure.cpp.

{ return referenceCurve_->minTime(); }

currency()

const QuantLib::Currency & currency ( ) const

overridevirtual

The currency in which prices are expressed.

Implements PriceTermStructure.

Definition at line 59 of file spreadedpricetermstructure.cpp.

{ return referenceCurve_->currency(); }

pillarDates()

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

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.

Definition at line 61 of file spreadedpricetermstructure.cpp.

{ return referenceCurve_->pillarDates(); }

performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 63 of file spreadedpricetermstructure.cpp.

                                                           {
    for (Size i = 0; i < times_.size(); ++i) {
        QL_REQUIRE(!priceSpreads_[i].empty(), "SpreadedPriceTermStructure: quote at index " << i << " is empty");
        data_[i] = priceSpreads_[i]->value();
    }
    interpolation_->update();
}

priceImpl()

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

overrideprivatevirtual

Price calculation.

Implements PriceTermStructure.

Definition at line 71 of file spreadedpricetermstructure.cpp.

                                                                       {
    calculate();
    return referenceCurve_->price(t) + (*interpolation_)(t);
}

Member Data Documentation

referenceCurve_

QuantLib::Handle<PriceTermStructure> referenceCurve_

private

Definition at line 54 of file spreadedpricetermstructure.hpp.

times_

std::vector<QuantLib::Real> times_

mutableprivate

Definition at line 55 of file spreadedpricetermstructure.hpp.

priceSpreads_

std::vector<QuantLib::Handle<QuantLib::Quote> > priceSpreads_

private

Definition at line 56 of file spreadedpricetermstructure.hpp.

data_

std::vector<QuantLib::Real> data_

mutableprivate

Definition at line 58 of file spreadedpricetermstructure.hpp.

interpolation_

QuantLib::ext::shared_ptr<QuantLib::Interpolation> interpolation_

private

Definition at line 59 of file spreadedpricetermstructure.hpp.