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InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator > Class Template Reference

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

#include <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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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< YieldTermStructureoriginalCurve_
 
std::vector< Handle< Quote > > spreads_
 
std::vector< Datedates_
 
std::vector< Timetimes_
 
std::vector< SpreadspreadValues_
 
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 DatereferenceDate () 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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◆ updateInterpolation()

void updateInterpolation
private

Definition at line 182 of file piecewisezerospreadedtermstructure.hpp.

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◆ calcSpread()

Spread calcSpread ( Time  t) const
private

Definition at line 156 of file piecewisezerospreadedtermstructure.hpp.

Member Data Documentation

◆ originalCurve_

Handle<YieldTermStructure> originalCurve_
private

Definition at line 74 of file piecewisezerospreadedtermstructure.hpp.

◆ spreads_

std::vector<Handle<Quote> > spreads_
private

Definition at line 75 of file piecewisezerospreadedtermstructure.hpp.

◆ dates_

std::vector<Date> dates_
private

Definition at line 76 of file piecewisezerospreadedtermstructure.hpp.

◆ times_

std::vector<Time> times_
private

Definition at line 77 of file piecewisezerospreadedtermstructure.hpp.

◆ spreadValues_

std::vector<Spread> spreadValues_
private

Definition at line 78 of file piecewisezerospreadedtermstructure.hpp.

◆ comp_

Compounding comp_
private

Definition at line 79 of file piecewisezerospreadedtermstructure.hpp.

◆ freq_

Frequency freq_
private

Definition at line 80 of file piecewisezerospreadedtermstructure.hpp.

◆ dc_

DayCounter dc_
private

Definition at line 81 of file piecewisezerospreadedtermstructure.hpp.

◆ factory_

Interpolator factory_
private

Definition at line 82 of file piecewisezerospreadedtermstructure.hpp.

◆ interpolator_

Interpolation interpolator_
private

Definition at line 83 of file piecewisezerospreadedtermstructure.hpp.