QuantLib: a free/open-source library for quantitative finance
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zeroyieldstructure.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004 StatPro Italia srl
6 Copyright (C) 2009 Ferdinando Ametrano
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file zeroyieldstructure.hpp
23 \brief Zero-yield based term structure
24*/
25
26#ifndef quantlib_zero_yield_structure_hpp
27#define quantlib_zero_yield_structure_hpp
28
30
31namespace QuantLib {
32
33 //! Zero-yield term structure
34 /*! This abstract class acts as an adapter to YieldTermStructure
35 allowing the programmer to implement only the
36 <tt>zeroYieldImpl(Time)</tt> method in derived classes.
37
38 Discount and forward are calculated from zero yields.
39
40 Zero rates are assumed to be annual continuous compounding.
41
42 \ingroup yieldtermstructures
43 */
45 public:
46 /*! \name Constructors
47 See the TermStructure documentation for issues regarding
48 constructors.
49 */
50 //@{
51 explicit ZeroYieldStructure(
52 const DayCounter& dc = DayCounter());
53 explicit ZeroYieldStructure(
54 const Date& referenceDate,
55 const Calendar& calendar = Calendar(),
56 const DayCounter& dc = DayCounter(),
57 const std::vector<Handle<Quote> >& jumps = {},
58 const std::vector<Date>& jumpDates = {});
61 const Calendar& calendar,
62 const DayCounter& dc = DayCounter(),
63 const std::vector<Handle<Quote> >& jumps = {},
64 const std::vector<Date>& jumpDates = {});
65 //@}
66 protected:
67 /*! \name Calculations
68
69 This method must be implemented in derived classes to
70 perform the actual calculations. When it is called,
71 range check has already been performed; therefore, it
72 must assume that extrapolation is required.
73 */
74 //@{
75 //! zero-yield calculation
76 virtual Rate zeroYieldImpl(Time) const = 0;
77 //@}
78
79 //! \name YieldTermStructure implementation
80 //@{
81 /*! Returns the discount factor for the given date calculating it
82 from the zero yield.
83 */
84 DiscountFactor discountImpl(Time) const override;
85 //@}
86 };
87
88 // inline definitions
89
91 if (t == 0.0) // this acts as a safe guard in cases where
92 return 1.0; // zeroYieldImpl(0.0) would throw.
93
95 return DiscountFactor(std::exp(-r*t));
96 }
97
98}
99
100#endif
calendar class
Definition: calendar.hpp:61
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
Shared handle to an observable.
Definition: handle.hpp:41
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar calendar() const
the calendar used for reference and/or option date calculation
Interest-rate term structure.
const std::vector< Date > & jumpDates() const
Zero-yield term structure.
virtual Rate zeroYieldImpl(Time) const =0
zero-yield calculation
DiscountFactor discountImpl(Time) const override
const DefaultType & t
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
Real DiscountFactor
discount factor between dates
Definition: types.hpp:66
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Real Rate
interest rates
Definition: types.hpp:70
Definition: any.hpp:35
ext::shared_ptr< YieldTermStructure > r
Interest-rate term structure.