#include <ql/termstructures/yield/compositezeroyieldstructure.hpp>

Inheritance diagram for CompositeZeroYieldStructure< BinaryFunction >:

Collaboration diagram for CompositeZeroYieldStructure< BinaryFunction >:

Public Member Functions
	CompositeZeroYieldStructure (Handle< YieldTermStructure > h1, Handle< YieldTermStructure > h2, const BinaryFunction &f, Compounding comp=Continuous, Frequency freq=NoFrequency)

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...

Time	maxTime () const override
	the latest time 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...

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 >	curve1_

Handle< YieldTermStructure >	curve2_

BinaryFunction	f_

Compounding	comp_

Frequency	freq_

void	update () override

Rate	zeroYieldImpl (Time) const override
	returns the composite 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

template<class BinaryFunction>
class QuantLib::CompositeZeroYieldStructure< BinaryFunction >

Definition at line 35 of file compositezeroyieldstructure.hpp.

Constructor & Destructor Documentation

◆ CompositeZeroYieldStructure()

CompositeZeroYieldStructure	(	Handle< YieldTermStructure >	h1,
		Handle< YieldTermStructure >	h2,
		const BinaryFunction &	f,
		Compounding	comp = `Continuous`,
		Frequency	freq = `NoFrequency`
	)

Definition at line 71 of file compositezeroyieldstructure.hpp.

Here is the call graph for this function:

Member Function Documentation

◆ dayCounter()

DayCounter dayCounter

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 86 of file compositezeroyieldstructure.hpp.

◆ calendar()

Calendar calendar

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 91 of file compositezeroyieldstructure.hpp.

◆ settlementDays()

Natural settlementDays

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 96 of file compositezeroyieldstructure.hpp.

◆ referenceDate()

const Date & referenceDate

overridevirtual

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

Reimplemented from TermStructure.

Definition at line 101 of file compositezeroyieldstructure.hpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 106 of file compositezeroyieldstructure.hpp.

Here is the call graph for this function:

◆ maxTime()

Time maxTime

overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 111 of file compositezeroyieldstructure.hpp.

◆ 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 116 of file compositezeroyieldstructure.hpp.

Here is the call graph for this function: