SpreadedZeroInflationCurve Class Reference

#include <qle/termstructures/spreadedinflationcurve.hpp>

Inheritance diagram for SpreadedZeroInflationCurve:

Collaboration diagram for SpreadedZeroInflationCurve:

Public Member Functions
	SpreadedZeroInflationCurve (const Handle< ZeroInflationTermStructure > &referenceCurve, const std::vector< Time > &times, const std::vector< Handle< Quote > > &quotes)
	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
Date	baseDate () const override

Protected Member Functions
void	performCalculations () const override
Rate	zeroRateImpl (Time t) const override

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

Detailed Description

Definition at line 35 of file spreadedinflationcurve.hpp.

Constructor & Destructor Documentation

SpreadedZeroInflationCurve()

SpreadedZeroInflationCurve	(	const Handle< ZeroInflationTermStructure > &	referenceCurve,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	quotes
	)

times should be consistent with reference ts day counter

Definition at line 24 of file spreadedinflationcurve.cpp.

    : ZeroInflationTermStructure(referenceCurve->dayCounter(), referenceCurve->baseRate(),
                                 referenceCurve->observationLag(), referenceCurve->frequency(),
                                 referenceCurve->seasonality()),
      referenceCurve_(referenceCurve), times_(times), quotes_(quotes), data_(times_.size(), 1.0) {
    QL_REQUIRE(times_.size() > 1, "SpreadedZeroInflationCurve: at least two times required");
    QL_REQUIRE(times_.size() == quotes.size(),
               "SpreadedZeroInflationCurve: size of time and quote vectors do not match");
    for (Size i = 0; i < quotes.size(); ++i) {
        registerWith(quotes_[i]);
    }
    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 45 of file spreadedinflationcurve.cpp.

{ return referenceCurve_->maxDate(); }

update()

void update ( )

override

Definition at line 47 of file spreadedinflationcurve.cpp.

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

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 52 of file spreadedinflationcurve.cpp.

{ return referenceCurve_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 54 of file spreadedinflationcurve.cpp.

{ return referenceCurve_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 56 of file spreadedinflationcurve.cpp.

{ return referenceCurve_->settlementDays(); }

baseDate()

Date baseDate ( ) const

override

Definition at line 43 of file spreadedinflationcurve.cpp.

{ return referenceCurve_->baseDate(); }

performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 58 of file spreadedinflationcurve.cpp.

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

zeroRateImpl()

Real zeroRateImpl ( Time  t ) const

overrideprotected

Definition at line 66 of file spreadedinflationcurve.cpp.

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

Member Data Documentation

referenceCurve_

Handle<ZeroInflationTermStructure> referenceCurve_

private

Definition at line 55 of file spreadedinflationcurve.hpp.

times_

std::vector<Time> times_

private

Definition at line 56 of file spreadedinflationcurve.hpp.

quotes_

std::vector<Handle<Quote> > quotes_

private

Definition at line 57 of file spreadedinflationcurve.hpp.

data_

std::vector<Real> data_

mutableprivate

Definition at line 58 of file spreadedinflationcurve.hpp.

interpolation_

QuantLib::ext::shared_ptr<Interpolation> interpolation_

private

Definition at line 59 of file spreadedinflationcurve.hpp.