Flat interest-rate curve. More...

#include <flatforward.hpp>

Inheritance diagram for FlatForward:

Collaboration diagram for FlatForward:

Public Member Functions
Constructors
	FlatForward (const Date &referenceDate, Handle< Quote > forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)

	FlatForward (const Date &referenceDate, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)

	FlatForward (Natural settlementDays, const Calendar &calendar, Handle< Quote > forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)

	FlatForward (Natural settlementDays, const Calendar &calendar, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)

Compounding	compounding () const

Frequency	compoundingFrequency () const

TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values More...

Observer interface
void	update () override

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 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...

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Private Member Functions
LazyObject interface
void	performCalculations () const override

YieldTermStructure implementation
Handle< Quote >	forward_

Compounding	compounding_

Frequency	frequency_

InterestRate	rate_

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 Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Flat interest-rate curve.

Definition at line 36 of file flatforward.hpp.

Constructor & Destructor Documentation

◆ FlatForward() [1/4]

FlatForward	(	const Date &	referenceDate,
		Handle< Quote >	forward,
		const DayCounter &	dayCounter,
		Compounding	compounding = `Continuous`,
		Frequency	frequency = `Annual`
	)

Definition at line 27 of file flatforward.cpp.

Here is the call graph for this function:

◆ FlatForward() [2/4]

FlatForward	(	const Date &	referenceDate,
		Rate	forward,
		const DayCounter &	dayCounter,
		Compounding	compounding = `Continuous`,
		Frequency	frequency = `Annual`
	)

Definition at line 37 of file flatforward.cpp.

◆ FlatForward() [3/4]

FlatForward	(	Natural	settlementDays,
		const Calendar &	calendar,
		Handle< Quote >	forward,
		const DayCounter &	dayCounter,
		Compounding	compounding = `Continuous`,
		Frequency	frequency = `Annual`
	)

Definition at line 46 of file flatforward.cpp.

Here is the call graph for this function:

◆ FlatForward() [4/4]

FlatForward	(	Natural	settlementDays,
		const Calendar &	calendar,
		Rate	forward,
		const DayCounter &	dayCounter,
		Compounding	compounding = `Continuous`,
		Frequency	frequency = `Annual`
	)

Definition at line 57 of file flatforward.cpp.

Member Function Documentation

◆ compounding()

Compounding compounding ( ) const

Definition at line 66 of file flatforward.hpp.

◆ compoundingFrequency()

Frequency compoundingFrequency ( ) const

Definition at line 67 of file flatforward.hpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 71 of file flatforward.hpp.

Here is the call graph for this function:

◆ 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 LazyObject.

Definition at line 97 of file flatforward.hpp.

Here is the call graph for this function:

◆ performCalculations()

void performCalculations ( ) const

overrideprivatevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 107 of file flatforward.hpp.

Here is the call graph for this function:

◆ discountImpl()

DiscountFactor discountImpl ( Time ) const

overrideprivatevirtual

discount factor calculation

Implements YieldTermStructure.

Definition at line 102 of file flatforward.hpp.

Here is the call graph for this function:

Member Data Documentation

◆ forward_

Handle<Quote> forward_

private

Definition at line 89 of file flatforward.hpp.

◆ compounding_

Compounding compounding_

private

Definition at line 90 of file flatforward.hpp.

◆ frequency_

Frequency frequency_

private

Definition at line 91 of file flatforward.hpp.

◆ rate_

InterestRate rate_

mutableprivate

Definition at line 92 of file flatforward.hpp.

Public Member Functions

Private Member Functions

YieldTermStructure implementation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FlatForward() [1/4]

◆ FlatForward() [2/4]

◆ FlatForward() [3/4]

◆ FlatForward() [4/4]

Member Function Documentation

◆ compounding()

◆ compoundingFrequency()

◆ maxDate()

◆ update()

◆ performCalculations()

◆ discountImpl()

Member Data Documentation

◆ forward_

◆ compounding_

◆ frequency_

◆ rate_