Piecewise yield term structure. More...

#include <piecewiseyieldcurve.hpp>

Inheritance diagram for PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >:

Collaboration diagram for PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >:

Public Types
typedef Traits	traits_type

typedef Interpolator	interpolator_type

typedef Bootstrap< this_curve >	bootstrap_type

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
Constructors
	PiecewiseYieldCurve (const Date &referenceDate, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &i={}, bootstrap_type bootstrap={})

	PiecewiseYieldCurve (const Date &referenceDate, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const DayCounter &dayCounter, const Interpolator &i, bootstrap_type bootstrap=bootstrap_type())

	PiecewiseYieldCurve (const Date &referenceDate, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const DayCounter &dayCounter, bootstrap_type bootstrap)

	PiecewiseYieldCurve (Natural settlementDays, const Calendar &calendar, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &i={}, bootstrap_type bootstrap={})

	PiecewiseYieldCurve (Natural settlementDays, const Calendar &calendar, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const DayCounter &dayCounter, const Interpolator &i, bootstrap_type bootstrap=bootstrap_type())

	PiecewiseYieldCurve (Natural settlementDays, const Calendar &calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const bootstrap_type &bootstrap)

TermStructure interface
Date	maxDate () const override

base_curve interface
const std::vector< Time > &	times () const

const std::vector< Date > &	dates () const

const std::vector< Real > &	data () const

std::vector< std::pair< Date, Real > >	nodes () const

Observer interface
void	update () override

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

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 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 ()

Private Types
typedef Traits::template curve< Interpolator >::type	base_curve

typedef PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >	this_curve

LazyObject interface
std::vector< ext::shared_ptr< typename Traits::helper > >	instruments_

Real	accuracy_

Bootstrap< this_curve >	bootstrap_

class	MultiCurveSensitivities

class	Bootstrap< this_curve >

class	BootstrapError< this_curve >

class	PenaltyFunction< this_curve >

void	performCalculations () const override

DiscountFactor	discountImpl (Time) const override

Additional Inherited Members
Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

template<class Traits, class Interpolator, template< class > class Bootstrap = IterativeBootstrap>
class QuantLib::PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >

Piecewise yield term structure.

This term structure is bootstrapped on a number of interest rate instruments which are passed as a vector of pointers to RateHelper instances. Their maturities mark the boundaries of the interpolated segments.

Each segment is determined sequentially starting from the earliest period to the latest and is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve.

Warning:: The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.

Tests:

the correctness of the returned values is tested by checking them against the original inputs.
the observability of the term structure is tested.

Examples: CDS.cpp.

Definition at line 62 of file piecewiseyieldcurve.hpp.

Member Typedef Documentation

◆ base_curve

typedef Traits::template curve<Interpolator>::type base_curve

private

Definition at line 66 of file piecewiseyieldcurve.hpp.

◆ this_curve

typedef PiecewiseYieldCurve<Traits,Interpolator,Bootstrap> this_curve

private

Definition at line 67 of file piecewiseyieldcurve.hpp.

◆ traits_type

typedef Traits traits_type

Definition at line 69 of file piecewiseyieldcurve.hpp.

◆ interpolator_type

typedef Interpolator interpolator_type

Definition at line 70 of file piecewiseyieldcurve.hpp.

◆ bootstrap_type

typedef Bootstrap<this_curve> bootstrap_type

Definition at line 71 of file piecewiseyieldcurve.hpp.

Constructor & Destructor Documentation

◆ PiecewiseYieldCurve() [1/6]

PiecewiseYieldCurve	(	const Date &	referenceDate,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		const DayCounter &	dayCounter,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	i = `{}`,
		bootstrap_type	bootstrap = `{}`
	)

Definition at line 75 of file piecewiseyieldcurve.hpp.

◆ PiecewiseYieldCurve() [2/6]

PiecewiseYieldCurve	(	const Date &	referenceDate,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		const DayCounter &	dayCounter,
		const Interpolator &	i,
		bootstrap_type	bootstrap = `bootstrap_type()`
	)

Definition at line 89 of file piecewiseyieldcurve.hpp.

◆ PiecewiseYieldCurve() [3/6]

PiecewiseYieldCurve	(	const Date &	referenceDate,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		const DayCounter &	dayCounter,
		bootstrap_type	bootstrap
	)

Definition at line 101 of file piecewiseyieldcurve.hpp.

◆ PiecewiseYieldCurve() [4/6]

PiecewiseYieldCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		const DayCounter &	dayCounter,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	i = `{}`,
		bootstrap_type	bootstrap = `{}`
	)

Definition at line 112 of file piecewiseyieldcurve.hpp.

◆ PiecewiseYieldCurve() [5/6]

PiecewiseYieldCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		const DayCounter &	dayCounter,
		const Interpolator &	i,
		bootstrap_type	bootstrap = `bootstrap_type()`
	)

Definition at line 127 of file piecewiseyieldcurve.hpp.

◆ PiecewiseYieldCurve() [6/6]

PiecewiseYieldCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		const std::vector< ext::shared_ptr< typename Traits::helper > > &	instruments,
		const DayCounter &	dayCounter,
		const bootstrap_type &	bootstrap
	)

Definition at line 144 of file piecewiseyieldcurve.hpp.

Member Function Documentation

◆ maxDate()

Date maxDate

override

Definition at line 198 of file piecewiseyieldcurve.hpp.

◆ times()

const std::vector< Time > & times

Definition at line 204 of file piecewiseyieldcurve.hpp.

◆ dates()

const std::vector< Date > & dates

Definition at line 210 of file piecewiseyieldcurve.hpp.

◆ data()

const std::vector< Real > & data

Definition at line 216 of file piecewiseyieldcurve.hpp.

◆ nodes()

std::vector< std::pair< Date, Real > > nodes

Definition at line 223 of file piecewiseyieldcurve.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 LazyObject.

Definition at line 229 of file piecewiseyieldcurve.hpp.

Here is the call graph for this function:

◆ performCalculations()

void performCalculations ( ) const

overrideprivatevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 250 of file piecewiseyieldcurve.hpp.

◆ discountImpl()

DiscountFactor discountImpl ( Time t ) const

overrideprivate

Definition at line 244 of file piecewiseyieldcurve.hpp.

Friends And Related Function Documentation

◆ MultiCurveSensitivities

friend class MultiCurveSensitivities

friend

Definition at line 187 of file piecewiseyieldcurve.hpp.

◆ Bootstrap< this_curve >

friend class Bootstrap< this_curve >

friend

Definition at line 187 of file piecewiseyieldcurve.hpp.

◆ BootstrapError< this_curve >

friend class BootstrapError< this_curve >

friend

Definition at line 187 of file piecewiseyieldcurve.hpp.

◆ PenaltyFunction< this_curve >

friend class PenaltyFunction< this_curve >

friend

Definition at line 187 of file piecewiseyieldcurve.hpp.

Member Data Documentation

◆ instruments_

std::vector<ext::shared_ptr<typename Traits::helper> > instruments_

private

Definition at line 180 of file piecewiseyieldcurve.hpp.

◆ accuracy_

Real accuracy_

private

Definition at line 181 of file piecewiseyieldcurve.hpp.

◆ bootstrap_

Bootstrap<this_curve> bootstrap_

private

Definition at line 191 of file piecewiseyieldcurve.hpp.

Public Types

Public Member Functions

Private Types

LazyObject interface

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ base_curve

◆ this_curve

◆ traits_type

◆ interpolator_type

◆ bootstrap_type

Constructor & Destructor Documentation

◆ PiecewiseYieldCurve() [1/6]

◆ PiecewiseYieldCurve() [2/6]

◆ PiecewiseYieldCurve() [3/6]

◆ PiecewiseYieldCurve() [4/6]

◆ PiecewiseYieldCurve() [5/6]

◆ PiecewiseYieldCurve() [6/6]

Member Function Documentation

◆ maxDate()

◆ times()

◆ dates()

◆ data()

◆ nodes()

◆ update()

◆ performCalculations()

◆ discountImpl()

Friends And Related Function Documentation

◆ MultiCurveSensitivities

◆ Bootstrap< this_curve >

◆ BootstrapError< this_curve >

◆ PenaltyFunction< this_curve >

Member Data Documentation

◆ instruments_

◆ accuracy_

◆ bootstrap_