Ultimate forward term structure. More...

#include <ultimateforwardtermstructure.hpp>

Inheritance diagram for UltimateForwardTermStructure:

Collaboration diagram for UltimateForwardTermStructure:

Public Member Functions
	UltimateForwardTermStructure (Handle< YieldTermStructure >, Handle< Quote > lastLiquidForwardRate, Handle< Quote > ultimateForwardRate, const Period &firstSmoothingPoint, Real alpha)

YieldTermStructure interface
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...

const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0 More...

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

Public Member Functions inherited from ZeroYieldStructure
	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

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...

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...

Observer interface
Handle< YieldTermStructure >	originalCurve_

Handle< Quote >	llfr_

Handle< Quote >	ufr_

Period	fsp_

Real	alpha_

void	update () override

Rate	zeroYieldImpl (Time) const override
	returns the UFR extended zero yield rate More...

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

Protected Member Functions inherited from ZeroYieldStructure
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...

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

Ultimate forward term structure.

Dutch regulatory term structure for pension funds with a parametrized extrapolation mechanism designed for discounting long dated liabilities.

Relevant documentation can be found on the Dutch Central Bank website:

FTK term structure documentation (Financieel toetsingskader): https://www.toezicht.dnb.nl/binaries/50-212329.pdf

UFR 2015 term structure documentation: https://www.toezicht.dnb.nl/binaries/50-234028.pdf

UFR 2019 term structure documentation: https://www.rijksoverheid.nl/documenten/kamerstukken/2019/06/11/advies-commissie-parameters

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 zero rates is tested by checking them against reference values obtained from the official source.
extrapolated forward is validated.
rates on the cut-off point are checked against those implied by the base curve.
inspectors are tested against the base curve.
incorrect input for cut-off point should raise an exception.
observability against changes in the underlying term structure and the additional components is checked.

Definition at line 70 of file ultimateforwardtermstructure.hpp.

Constructor & Destructor Documentation

◆ UltimateForwardTermStructure()

UltimateForwardTermStructure	(	Handle< YieldTermStructure >	h,
		Handle< Quote >	lastLiquidForwardRate,
		Handle< Quote >	ultimateForwardRate,
		const Period &	firstSmoothingPoint,
		Real	alpha
	)

Definition at line 103 of file ultimateforwardtermstructure.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 120 of file ultimateforwardtermstructure.hpp.

◆ calendar()

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 124 of file ultimateforwardtermstructure.hpp.

◆ settlementDays()

Natural settlementDays ( ) const

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 128 of file ultimateforwardtermstructure.hpp.

◆ referenceDate()

const Date & referenceDate ( ) const

overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 132 of file ultimateforwardtermstructure.hpp.

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◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 136 of file ultimateforwardtermstructure.hpp.

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◆ 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 138 of file ultimateforwardtermstructure.hpp.

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