QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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YieldTermStructure based on interpolation of forward rates. More...
#include <forwardcurve.hpp>
Public Member Functions | |
InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={}) | |
InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator) | |
InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator) | |
TermStructure interface | |
Date | maxDate () const override |
the latest date for which the curve can return values More... | |
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ForwardRateStructure (const DayCounter &dayCounter=DayCounter()) | |
ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) | |
ForwardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) | |
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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 |
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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... | |
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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 () |
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Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
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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... | |
ForwardRateStructure implementation | |
std::vector< Date > | dates_ |
Rate | forwardImpl (Time t) const override |
instantaneous forward-rate calculation More... | |
Rate | zeroYieldImpl (Time t) const override |
void | initialize () |
other inspectors | |
const std::vector< Time > & | times () const |
const std::vector< Date > & | dates () const |
const std::vector< Real > & | data () const |
const std::vector< Rate > & | forwards () const |
std::vector< std::pair< Date, Real > > | nodes () const |
InterpolatedForwardCurve (const DayCounter &, const Interpolator &interpolator={}) | |
InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={}) | |
InterpolatedForwardCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={}) | |
Additional Inherited Members | |
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typedef set_type::iterator | iterator |
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DiscountFactor | discountImpl (Time) const override |
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void | checkRange (const Date &d, bool extrapolate) const |
date-range check More... | |
void | checkRange (Time t, bool extrapolate) const |
time-range check More... | |
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InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator()) | |
InterpolatedCurve (std::vector< Time > times, const Interpolator &i=Interpolator()) | |
InterpolatedCurve (Size n, const Interpolator &i=Interpolator()) | |
InterpolatedCurve (const Interpolator &i=Interpolator()) | |
InterpolatedCurve (const InterpolatedCurve &c) | |
InterpolatedCurve & | operator= (const InterpolatedCurve &c) |
InterpolatedCurve (InterpolatedCurve &&c) noexcept | |
InterpolatedCurve & | operator= (InterpolatedCurve &&c) noexcept |
void | setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter) |
void | setupInterpolation () |
~InterpolatedCurve ()=default | |
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bool | moving_ = false |
bool | updated_ = true |
Calendar | calendar_ |
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std::vector< Time > | times_ |
std::vector< Real > | data_ |
Interpolation | interpolation_ |
Interpolator | interpolator_ |
Date | maxDate_ |
YieldTermStructure based on interpolation of forward rates.
Definition at line 40 of file forwardcurve.hpp.
InterpolatedForwardCurve | ( | const std::vector< Date > & | dates, |
const std::vector< Rate > & | forwards, | ||
const DayCounter & | dayCounter, | ||
const Calendar & | cal = Calendar() , |
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const std::vector< Handle< Quote > > & | jumps = {} , |
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const std::vector< Date > & | jumpDates = {} , |
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const Interpolator & | interpolator = {} |
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InterpolatedForwardCurve | ( | const std::vector< Date > & | dates, |
const std::vector< Rate > & | forwards, | ||
const DayCounter & | dayCounter, | ||
const Calendar & | calendar, | ||
const Interpolator & | interpolator | ||
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InterpolatedForwardCurve | ( | const std::vector< Date > & | dates, |
const std::vector< Rate > & | forwards, | ||
const DayCounter & | dayCounter, | ||
const Interpolator & | interpolator | ||
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explicitprotected |
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protected |
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protected |
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overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Definition at line 113 of file forwardcurve.hpp.
const std::vector< Time > & times |
Definition at line 121 of file forwardcurve.hpp.
const std::vector< Date > & dates |
Definition at line 127 of file forwardcurve.hpp.
const std::vector< Real > & data |
Definition at line 133 of file forwardcurve.hpp.
const std::vector< Rate > & forwards |
Definition at line 139 of file forwardcurve.hpp.
Definition at line 145 of file forwardcurve.hpp.
instantaneous forward-rate calculation
Implements ForwardRateStructure.
Returns the zero yield rate for the given date calculating it from the instantaneous forward rate f(t) as
z(t) = \int_0^t f(\tau) d\tau
Reimplemented from ForwardRateStructure.
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private |
Definition at line 254 of file forwardcurve.hpp.
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mutableprotected |
Definition at line 99 of file forwardcurve.hpp.