Zero-yield term structure. More...
#include <ql/termstructures/yield/zeroyieldstructure.hpp>
Inheritance diagram for ZeroYieldStructure:
Collaboration diagram for ZeroYieldStructure:
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| 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 | |
| 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... | |
Protected Member Functions | |
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. | |
| virtual Rate | zeroYieldImpl (Time) const =0 |
| zero-yield calculation More... | |
YieldTermStructure implementation | |
| 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... | |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from TermStructure | |
| bool | moving_ = false |
| bool | updated_ = true |
| Calendar | calendar_ |
Detailed Description
Zero-yield term structure.
This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the zeroYieldImpl(Time) method in derived classes.
Discount and forward are calculated from zero yields.
Zero rates are assumed to be annual continuous compounding.
Definition at line 44 of file zeroyieldstructure.hpp.
Constructor & Destructor Documentation
◆ ZeroYieldStructure() [1/3]
|
explicit |
Definition at line 26 of file zeroyieldstructure.cpp.
◆ ZeroYieldStructure() [2/3]
|
explicit |
Definition at line 29 of file zeroyieldstructure.cpp.
◆ ZeroYieldStructure() [3/3]
| ZeroYieldStructure | ( | Natural | settlementDays, |
| const Calendar & | calendar, | ||
| const DayCounter & | dc = DayCounter(), |
||
| const std::vector< Handle< Quote > > & | jumps = {}, |
||
| const std::vector< Date > & | jumpDates = {} |
||
| ) |
Definition at line 37 of file zeroyieldstructure.cpp.
Member Function Documentation
◆ zeroYieldImpl()
zero-yield calculation
Implemented in InterpolatedZeroCurve< Interpolator >, CompositeZeroYieldStructure< BinaryFunction >, InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >, QuantoTermStructure, UltimateForwardTermStructure, and ZeroSpreadedTermStructure.
Here is the caller graph for this function:
◆ discountImpl()
|
overrideprotectedvirtual |
Returns the discount factor for the given date calculating it from the zero yield.
Implements YieldTermStructure.
Definition at line 90 of file zeroyieldstructure.hpp.
Here is the call graph for this function: