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YieldTermStructure Class Referenceabstract

Interest-rate term structure. More...

#include <ql/termstructures/yieldtermstructure.hpp>

+ Inheritance diagram for YieldTermStructure:
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Public Member Functions

Constructors

See the TermStructure documentation for issues regarding constructors.

 YieldTermStructure (const DayCounter &dc=DayCounter())
 
 YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
 
 YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
 
QL_DEPRECATED YieldTermStructure (const DayCounter &dc, std::vector< Handle< Quote > > jumps, const std::vector< Date > &jumpDates=std::vector< Date >())
 
Discount factors

These methods return the discount factor from a given date or time to the reference date. In the latter case, the time is calculated as a fraction of year from the reference date.

DiscountFactor discount (const Date &d, bool extrapolate=false) const
 
DiscountFactor discount (Time t, bool extrapolate=false) const
 
Zero-yield rates

These methods return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

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
 
Forward rates

These methods returns the forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date.

If both dates (times) are equal the instantaneous forward rate is returned.

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
 
Jump inspectors
const std::vector< Date > & jumpDates () const
 
const std::vector< Time > & jumpTimes () const
 
Observer interface
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
 
virtual DayCounter dayCounter () const
 the day counter used for date/time conversion More...
 
Time timeFromReference (const Date &date) const
 date/time conversion More...
 
virtual Date maxDate () const =0
 the latest date for which the curve can return values More...
 
virtual Time maxTime () const
 the latest time for which the curve can return values More...
 
virtual const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0 More...
 
virtual Calendar calendar () const
 the calendar used for reference and/or option date calculation More...
 
virtual Natural settlementDays () const
 the settlementDays used for reference date calculation 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 deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
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...
 

Calculations

This method must be implemented in derived classes to perform the actual calculations. When it is called, range check has already been performed; therefore, it must assume that extrapolation is required.

std::vector< Handle< Quote > > jumps_
 
std::vector< DatejumpDates_
 
std::vector< TimejumpTimes_
 
Size nJumps_ = 0
 
Date latestReference_
 
virtual DiscountFactor discountImpl (Time) const =0
 discount factor calculation More...
 
void setJumps (const Date &referenceDate)
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- 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

Interest-rate term structure.

This abstract class defines the interface of concrete interest rate structures which will be derived from this one.

Tests:
observability against evaluation date changes is checked.
Examples
FittedBondCurve.cpp.

Definition at line 44 of file yieldtermstructure.hpp.

Constructor & Destructor Documentation

◆ YieldTermStructure() [1/4]

YieldTermStructure ( const DayCounter dc = DayCounter())
explicit

Definition at line 33 of file yieldtermstructure.cpp.

◆ YieldTermStructure() [2/4]

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

Definition at line 45 of file yieldtermstructure.cpp.

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◆ YieldTermStructure() [3/4]

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

Definition at line 57 of file yieldtermstructure.cpp.

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◆ YieldTermStructure() [4/4]

YieldTermStructure ( const DayCounter dc,
std::vector< Handle< Quote > >  jumps,
const std::vector< Date > &  jumpDates = std::vector<Date>() 
)
Deprecated:
Passing jumps without a reference date never worked correctly. Use one of the other constructors instead. Deprecated in version 1.19.

Definition at line 35 of file yieldtermstructure.cpp.

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Member Function Documentation

◆ discount() [1/2]

DiscountFactor discount ( const Date d,
bool  extrapolate = false 
) const
Examples
FittedBondCurve.cpp.

Definition at line 192 of file yieldtermstructure.hpp.

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◆ discount() [2/2]

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

The same day-counting rule used by the term structure should be used for calculating the passed time t.

Definition at line 86 of file yieldtermstructure.cpp.

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◆ zeroRate() [1/2]

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

The resulting interest rate has the required daycounting rule.

Definition at line 108 of file yieldtermstructure.cpp.

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◆ zeroRate() [2/2]

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

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed time t.

Definition at line 127 of file yieldtermstructure.cpp.

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◆ forwardRate() [1/3]

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

The resulting interest rate has the required day-counting rule.

Definition at line 138 of file yieldtermstructure.cpp.

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◆ forwardRate() [2/3]

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

The resulting interest rate has the required day-counting rule.

Warning:
dates are not adjusted for holidays

Definition at line 198 of file yieldtermstructure.hpp.

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◆ forwardRate() [3/3]

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

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed times t1 and t2.

Definition at line 163 of file yieldtermstructure.cpp.

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◆ jumpDates()

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

Definition at line 207 of file yieldtermstructure.hpp.

◆ jumpTimes()

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

Definition at line 211 of file yieldtermstructure.hpp.

◆ update()

void update ( )
overridevirtual

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 183 of file yieldtermstructure.cpp.

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◆ discountImpl()

virtual DiscountFactor discountImpl ( Time  ) const
protectedpure virtual

◆ setJumps()

void setJumps ( const Date referenceDate)
private

Definition at line 69 of file yieldtermstructure.cpp.

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Member Data Documentation

◆ jumps_

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

Definition at line 182 of file yieldtermstructure.hpp.

◆ jumpDates_

std::vector<Date> jumpDates_
private

Definition at line 183 of file yieldtermstructure.hpp.

◆ jumpTimes_

std::vector<Time> jumpTimes_
private

Definition at line 184 of file yieldtermstructure.hpp.

◆ nJumps_

Size nJumps_ = 0
private

Definition at line 185 of file yieldtermstructure.hpp.

◆ latestReference_

Date latestReference_
private

Definition at line 186 of file yieldtermstructure.hpp.