Yield curve with an added vector of spreads on the zero-yield rate. More...

#include <ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp>

Inheritance diagram for InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >:

Collaboration diagram for InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >:

Public Member Functions
	InterpolatedPiecewiseZeroSpreadedTermStructure (Handle< YieldTermStructure >, std::vector< Handle< Quote > > spreads, const std::vector< Date > &dates, Compounding comp=Continuous, Frequency freq=NoFrequency, DayCounter dc=DayCounter(), const Interpolator &factory=Interpolator())

Public Member Functions inherited from ZeroYieldStructure
	ZeroYieldStructure (const DayCounter &dc=DayCounter())

	ZeroYieldStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})

	ZeroYieldStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})

Public Member Functions inherited from YieldTermStructure
	YieldTermStructure (const DayCounter &dc=DayCounter())

	YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})

	YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})

DiscountFactor	discount (const Date &d, bool extrapolate=false) const

DiscountFactor	discount (Time t, bool extrapolate=false) const

InterestRate	zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate	zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate	forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate	forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate	forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

const std::vector< Date > &	jumpDates () const

const std::vector< Time > &	jumpTimes () const

void	update () override

Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...

	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...

	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~TermStructure () override=default

Time	timeFromReference (const Date &date) const
	date/time conversion More...

virtual Time	maxTime () const
	the latest time for which the curve can return values More...

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

YieldTermStructure interface
Handle< YieldTermStructure >	originalCurve_

std::vector< Handle< Quote > >	spreads_

std::vector< Date >	dates_

std::vector< Time >	times_

std::vector< Spread >	spreadValues_

Compounding	comp_

Frequency	freq_

DayCounter	dc_

Interpolator	factory_

Interpolation	interpolator_

DayCounter	dayCounter () const override
	the day counter used for date/time conversion More...

Natural	settlementDays () const override
	the settlementDays used for reference date calculation More...

Calendar	calendar () const override
	the calendar used for reference and/or option date calculation More...

const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0 More...

Date	maxDate () const override
	the latest date for which the curve can return values More...

Rate	zeroYieldImpl (Time) const override
	returns the spreaded zero yield rate More...

void	update () override

void	updateInterpolation ()

Real	calcSpread (Time t) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from ZeroYieldStructure
DiscountFactor	discountImpl (Time) const override

Protected Member Functions inherited from YieldTermStructure
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...

void	checkRange (Time t, bool extrapolate) const
	time-range check More...

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >

Yield curve with an added vector of spreads on the zero-yield rate.

The zero-yield spread at any given date is interpolated between the input data.

Note: This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.

Definition at line 49 of file piecewisezerospreadedtermstructure.hpp.

Constructor & Destructor Documentation

◆ InterpolatedPiecewiseZeroSpreadedTermStructure()

InterpolatedPiecewiseZeroSpreadedTermStructure	(	Handle< YieldTermStructure >	,
		std::vector< Handle< Quote > >	spreads,
		const std::vector< Date > &	dates,
		Compounding	comp = `Continuous`,
		Frequency	freq = `NoFrequency`,
		DayCounter	dc = `DayCounter()`,
		const Interpolator &	factory = `Interpolator()`
	)

Definition at line 96 of file piecewisezerospreadedtermstructure.hpp.

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Member Function Documentation

◆ dayCounter()

DayCounter dayCounter

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 117 of file piecewisezerospreadedtermstructure.hpp.

◆ settlementDays()

Natural settlementDays

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 127 of file piecewisezerospreadedtermstructure.hpp.

◆ calendar()

Calendar calendar

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 122 of file piecewisezerospreadedtermstructure.hpp.

◆ referenceDate()

const Date & referenceDate

overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 133 of file piecewisezerospreadedtermstructure.hpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 138 of file piecewisezerospreadedtermstructure.hpp.

◆ zeroYieldImpl()

Rate zeroYieldImpl ( Time t ) const

overrideprotectedvirtual

returns the spreaded zero yield rate

Implements ZeroYieldStructure.

Definition at line 144 of file piecewisezerospreadedtermstructure.hpp.

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◆ update()

void update ( )

overrideprotectedvirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from TermStructure.

Definition at line 167 of file piecewisezerospreadedtermstructure.hpp.

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