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Public Member Functions | List of all members
ZeroSpreadedTermStructure Class Reference

Term structure with an added spread on the zero yield rate. More...

#include <zerospreadedtermstructure.hpp>

+ Inheritance diagram for ZeroSpreadedTermStructure:
+ Collaboration diagram for ZeroSpreadedTermStructure:

Public Member Functions

 ZeroSpreadedTermStructure (Handle< YieldTermStructure >, Handle< Quote > spread, Compounding comp=Continuous, Frequency freq=NoFrequency, DayCounter dc=DayCounter())
 
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 DatereferenceDate () 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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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< YieldTermStructureoriginalCurve_
 
Handle< Quotespread_
 
Compounding comp_
 
Frequency freq_
 
DayCounter dc_
 
void update () override
 
Rate zeroYieldImpl (Time) const override
 returns the spreaded zero yield rate More...
 
Rate forwardImpl (Time) const
 returns the spreaded forward 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

Term structure with an added spread on the zero yield rate.

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 and in the added spread is checked.

Definition at line 47 of file zerospreadedtermstructure.hpp.

Constructor & Destructor Documentation

◆ ZeroSpreadedTermStructure()

Definition at line 81 of file zerospreadedtermstructure.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 94 of file zerospreadedtermstructure.hpp.

◆ calendar()

Calendar calendar ( ) const
overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 98 of file zerospreadedtermstructure.hpp.

◆ settlementDays()

Natural settlementDays ( ) const
overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 102 of file zerospreadedtermstructure.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 106 of file zerospreadedtermstructure.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 110 of file zerospreadedtermstructure.hpp.

◆ maxTime()

Time maxTime ( ) const
overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 114 of file zerospreadedtermstructure.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 118 of file zerospreadedtermstructure.hpp.

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◆ zeroYieldImpl()

Rate zeroYieldImpl ( Time  t) const
overrideprotectedvirtual

returns the spreaded zero yield rate

Implements ZeroYieldStructure.

Definition at line 132 of file zerospreadedtermstructure.hpp.

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◆ forwardImpl()

Rate forwardImpl ( Time  t) const
protected

returns the spreaded forward rate

Definition at line 143 of file zerospreadedtermstructure.hpp.

Member Data Documentation

◆ originalCurve_

Handle<YieldTermStructure> originalCurve_
private

Definition at line 74 of file zerospreadedtermstructure.hpp.

◆ spread_

Handle<Quote> spread_
private

Definition at line 75 of file zerospreadedtermstructure.hpp.

◆ comp_

Compounding comp_
private

Definition at line 76 of file zerospreadedtermstructure.hpp.

◆ freq_

Frequency freq_
private

Definition at line 77 of file zerospreadedtermstructure.hpp.

◆ dc_

DayCounter dc_
private

Definition at line 78 of file zerospreadedtermstructure.hpp.