YieldTermStructure Class Reference

Interest-rate term structure. More...

#include <yieldtermstructure.hpp>

Inheritance diagram for YieldTermStructure:

Collaboration diagram for YieldTermStructure:

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={}, 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={})
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 Date &	referenceDate () 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 &)
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...

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< Date >	jumpDates_
std::vector< Time >	jumpTimes_
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 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() [1/3]

YieldTermStructure ( const DayCounter &  dc = DayCounter() )

explicit

Definition at line 33 of file yieldtermstructure.cpp.

YieldTermStructure() [2/3]

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

Definition at line 35 of file yieldtermstructure.cpp.

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YieldTermStructure() [3/3]

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

Definition at line 47 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 183 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 76 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 98 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 118 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 129 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 189 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 154 of file yieldtermstructure.cpp.

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jumpDates()

const std::vector< Date > & jumpDates

(

)

const

Definition at line 198 of file yieldtermstructure.hpp.

jumpTimes()

const std::vector< Time > & jumpTimes

(

)

const

Definition at line 202 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 174 of file yieldtermstructure.cpp.

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discountImpl()

virtual DiscountFactor discountImpl ( Time  ) const

protectedpure virtual

discount factor calculation

Implemented in InterpolatedSimpleZeroCurve< Interpolator >, FdmAffineModelTermStructure, InterpolatedDiscountCurve< Interpolator >, FittedBondDiscountCurve, FlatForward, ForwardRateStructure, ImpliedTermStructure, and ZeroYieldStructure.

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setJumps()

void setJumps ( const Date &  referenceDate )

private

Definition at line 59 of file yieldtermstructure.cpp.

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Member Data Documentation

jumps_

std::vector<Handle<Quote> > jumps_

private

Definition at line 173 of file yieldtermstructure.hpp.

jumpDates_

std::vector<Date> jumpDates_

private

Definition at line 174 of file yieldtermstructure.hpp.

jumpTimes_

std::vector<Time> jumpTimes_

private

Definition at line 175 of file yieldtermstructure.hpp.

nJumps_

Size nJumps_ = 0

private

Definition at line 176 of file yieldtermstructure.hpp.

latestReference_

Date latestReference_

private

Definition at line 177 of file yieldtermstructure.hpp.