ImpliedTermStructure Class Reference

Implied term structure at a given date in the future. More...

#include <impliedtermstructure.hpp>

Inheritance diagram for ImpliedTermStructure:

Collaboration diagram for ImpliedTermStructure:

Public Member Functions
	ImpliedTermStructure (Handle< YieldTermStructure >, const Date &referenceDate)
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...
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 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_
DayCounter	dayCounter () const override
	the day counter used for date/time conversion More...
Calendar	calendar () const override
	the calendar used for reference and/or option date calculation More...
Natural	settlementDays () const override
	the settlementDays used for reference date calculation More...
Date	maxDate () const override
	the latest date for which the curve can return values More...
DiscountFactor	discountImpl (Time) const override
	discount factor calculation More...

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

Implied term structure at a given date in the future.

The given date will be the implied reference date.

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.

Tests:

• the correctness of the returned values is tested by checking them against numerical calculations.
• observability against changes in the underlying term structure is checked.

Definition at line 48 of file impliedtermstructure.hpp.

Constructor & Destructor Documentation

ImpliedTermStructure()

ImpliedTermStructure	(	Handle< YieldTermStructure >	h,
		const Date &	referenceDate
	)

Definition at line 68 of file impliedtermstructure.hpp.

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Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 74 of file impliedtermstructure.hpp.

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calendar()

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 78 of file impliedtermstructure.hpp.

settlementDays()

Natural settlementDays ( ) const

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 82 of file impliedtermstructure.hpp.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 86 of file impliedtermstructure.hpp.

discountImpl()

DiscountFactor discountImpl ( Time  ) const

overrideprotectedvirtual

discount factor calculation

Implements YieldTermStructure.

Definition at line 90 of file impliedtermstructure.hpp.

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Member Data Documentation

originalCurve_

Handle<YieldTermStructure> originalCurve_

private

Definition at line 62 of file impliedtermstructure.hpp.