YieldCurveEUR Struct Reference

#include <test/yieldcurvemarketdata.hpp>

Collaboration diagram for YieldCurveEUR:

Public Member Functions
	YieldCurveEUR ()

Public Attributes
Handle< YieldTermStructure >	discountEonia
Handle< YieldTermStructure >	forward3M
Handle< YieldTermStructure >	forward6M
DayCounter	dayCounter

Detailed Description

Definition at line 37 of file yieldcurvemarketdata.hpp.

Constructor & Destructor Documentation

YieldCurveEUR()

YieldCurveEUR

(

)

Definition at line 39 of file yieldcurvemarketdata.hpp.

                    : dayCounter(Actual365Fixed()) {
        // Vectors to hold dates and disc
        vector<Date> dates(7);
        vector<Rate> discEonia(7);
        vector<Rate> disc3M(7);
        vector<Rate> disc6M(7);
 
        // Populate the vectors
        dates[0] = Date(5, Feb, 2016);
        discEonia[0] = 1.000000000;
        disc3M[0] = 1.000000000;
        disc6M[0] = 1.000000000;
        dates[1] = Date(5, Aug, 2016);
        discEonia[1] = 1.001296118;
        disc3M[1] = 1.000482960;
        disc6M[1] = 0.999875649;
        dates[2] = Date(6, Feb, 2017);
        discEonia[2] = 1.003183503;
        disc3M[2] = 1.001536429;
        disc6M[2] = 1.000221239;
        dates[3] = Date(5, Feb, 2021);
        discEonia[3] = 1.008950857;
        disc3M[3] = 0.999534627;
        disc6M[3] = 0.992455644;
        dates[4] = Date(6, Feb, 2023);
        discEonia[4] = 0.996461253;
        disc3M[4] = 0.984474484;
        disc6M[4] = 0.974435009;
        dates[5] = Date(5, Feb, 2026);
        discEonia[5] = 0.960894135;
        disc3M[5] = 0.944011343;
        disc6M[5] = 0.932147253;
        dates[6] = Date(5, Feb, 2036);
        discEonia[6] = 0.830169833;
        disc3M[6] = 0.807585583;
        disc6M[6] = 0.794115491;
 
        // Create the discount curves
        discountEonia = Handle<YieldTermStructure>(QuantLib::ext::make_shared<DiscountCurve>(dates, discEonia, dayCounter));
        forward3M = Handle<YieldTermStructure>(QuantLib::ext::make_shared<DiscountCurve>(dates, disc3M, dayCounter));
        forward6M = Handle<YieldTermStructure>(QuantLib::ext::make_shared<DiscountCurve>(dates, disc6M, dayCounter));
 
        // Enable extrapolation on all curves by default
        discountEonia->enableExtrapolation();
        forward3M->enableExtrapolation();
        forward6M->enableExtrapolation();
    }

Member Data Documentation

discountEonia

Handle<YieldTermStructure> discountEonia

Definition at line 88 of file yieldcurvemarketdata.hpp.

forward3M

Handle<YieldTermStructure> forward3M

Definition at line 89 of file yieldcurvemarketdata.hpp.

forward6M

Handle<YieldTermStructure> forward6M

Definition at line 90 of file yieldcurvemarketdata.hpp.

dayCounter

DayCounter dayCounter

Definition at line 91 of file yieldcurvemarketdata.hpp.