yieldtermstructure.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2004, 2009 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_yield_term_structure_hpp
#define quantlib_yield_term_structure_hpp
 
#include <ql/termstructure.hpp>
#include <ql/interestrate.hpp>
#include <ql/quote.hpp>
#include <vector>
 
namespace QuantLib {
 
 
    class YieldTermStructure : public TermStructure {
      public:
        explicit 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;
      protected:
        virtual DiscountFactor discountImpl(Time) const = 0;
      private:
        // methods
        void setJumps(const Date& referenceDate);
        // data members
        std::vector<Handle<Quote> > jumps_;
        std::vector<Date> jumpDates_;
        std::vector<Time> jumpTimes_;
        Size nJumps_ = 0;
        Date latestReference_;
    };
 
    // inline definitions
 
    inline
    DiscountFactor YieldTermStructure::discount(const Date& d,
                                                bool extrapolate) const {
        return discount(timeFromReference(d), extrapolate);
    }
 
    inline
    InterestRate YieldTermStructure::forwardRate(const Date& d,
                                                 const Period& p,
                                                 const DayCounter& dayCounter,
                                                 Compounding comp,
                                                 Frequency freq,
                                                 bool extrapolate) const {
        return forwardRate(d, d+p, dayCounter, comp, freq, extrapolate);
    }
 
    inline const std::vector<Date>& YieldTermStructure::jumpDates() const {
        return this->jumpDates_;
    }
 
    inline const std::vector<Time>& YieldTermStructure::jumpTimes() const {
        return this->jumpTimes_;
    }
 
}
 
#endif