WeightedYieldTermStructure Class Reference

weighted yield term structure More...

#include <qle/termstructures/weightedyieldtermstructure.hpp>

Inheritance diagram for WeightedYieldTermStructure:

Collaboration diagram for WeightedYieldTermStructure:

Public Member Functions
	WeightedYieldTermStructure (const Handle< YieldTermStructure > &yts1, const Handle< YieldTermStructure > &yts2, const Real w1, const Real w2)
Date	maxDate () const override
const Date &	referenceDate () const override

Protected Member Functions
Real	discountImpl (Time t) const override

Protected Attributes
const Handle< YieldTermStructure >	yts1_
const Handle< YieldTermStructure >	yts2_
const Real	w1_
const Real	w2_

Detailed Description

weighted yield term structure

this yield term structure is defined by discount factors given by a weighted geometric average of discount factors of underlying curves; this corresponds to a weighted arithmetic average of instantaneous forward rates and can be used to interpolate e.g. a Euribor2M curve between Euribor1M and Euribor3M (using w1=w2=0.5)

Definition at line 37 of file weightedyieldtermstructure.hpp.

Constructor & Destructor Documentation

WeightedYieldTermStructure()

WeightedYieldTermStructure	(	const Handle< YieldTermStructure > &	yts1,
		const Handle< YieldTermStructure > &	yts2,
		const Real	w1,
		const Real	w2
	)

Definition at line 39 of file weightedyieldtermstructure.hpp.

        : YieldTermStructure(yts1->dayCounter()), yts1_(yts1), yts2_(yts2), w1_(w1), w2_(w2) {
        QL_REQUIRE(yts1->dayCounter() == yts2->dayCounter(),
                   "WeightedYieldTermStructure(): sources have inconsistent day counters ("
                       << yts1->dayCounter().name() << " vs. " << yts2->dayCounter().name());
        registerWith(yts1);
        registerWith(yts2);
    }

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 59 of file weightedyieldtermstructure.hpp.

{ return std::min(yts1_->maxDate(), yts2_->maxDate()); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 61 of file weightedyieldtermstructure.hpp.

                                                                   {
    QL_REQUIRE(yts1_->referenceDate() == yts2_->referenceDate(),
               "WeightedYieldTermStructure::referenceDate(): inconsistent reference dates in sources ("
                   << yts1_->referenceDate() << " vs. " << yts2_->referenceDate());
    return yts1_->referenceDate();
}

discountImpl()

Real discountImpl ( Time  t ) const

overrideprotected

Definition at line 68 of file weightedyieldtermstructure.hpp.

                                                                 {
    return std::pow(yts1_->discount(t), w1_) * std::pow(yts2_->discount(t), w2_);
}

Member Data Documentation

yts1_

const Handle<YieldTermStructure> yts1_

protected

Definition at line 53 of file weightedyieldtermstructure.hpp.

yts2_

const Handle<YieldTermStructure> yts2_

protected

Definition at line 53 of file weightedyieldtermstructure.hpp.

w1_

const Real w1_

protected

Definition at line 54 of file weightedyieldtermstructure.hpp.

w2_

const Real w2_

protected

Definition at line 54 of file weightedyieldtermstructure.hpp.