Term structure with added spread on the instantaneous forward rate. More...

#include <forwardspreadedtermstructure.hpp>

Inheritance diagram for ForwardSpreadedTermStructure:

Collaboration diagram for ForwardSpreadedTermStructure:

Public Member Functions
	ForwardSpreadedTermStructure (Handle< YieldTermStructure >, Handle< Quote > spread)

TermStructure interface
DayCounter	dayCounter () const override
	the day counter used for date/time conversion 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...

const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0 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...

Observer interface
void	update () override

Public Member Functions inherited from ForwardRateStructure
	ForwardRateStructure (const DayCounter &dayCounter=DayCounter())

	ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})

	ForwardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=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...

ForwardRateStructure implementation
Handle< YieldTermStructure >	originalCurve_

Handle< Quote >	spread_

Rate	forwardImpl (Time t) const override
	instantaneous forward-rate calculation More...

Rate	zeroYieldImpl (Time t) const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from ForwardRateStructure
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 added spread on the instantaneous forward 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 forwardspreadedtermstructure.hpp.

Constructor & Destructor Documentation

◆ ForwardSpreadedTermStructure()

ForwardSpreadedTermStructure	(	Handle< YieldTermStructure >	h,
		Handle< Quote >	spread
	)

Definition at line 75 of file forwardspreadedtermstructure.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 82 of file forwardspreadedtermstructure.hpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 98 of file forwardspreadedtermstructure.hpp.

◆ maxTime()

Time maxTime ( ) const

overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 102 of file forwardspreadedtermstructure.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 94 of file forwardspreadedtermstructure.hpp.

◆ calendar()

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 86 of file forwardspreadedtermstructure.hpp.

◆ settlementDays()

Natural settlementDays ( ) const

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 90 of file forwardspreadedtermstructure.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 106 of file forwardspreadedtermstructure.hpp.

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◆ forwardImpl()

Rate forwardImpl ( Time ) const

overrideprotectedvirtual

instantaneous forward-rate calculation

Implements ForwardRateStructure.

Definition at line 119 of file forwardspreadedtermstructure.hpp.

◆ zeroYieldImpl()

Rate zeroYieldImpl ( Time t ) const

overrideprotectedvirtual

Returns the zero yield rate for the given date calculating it from the instantaneous forward rate $f(t)$ as

$z(t) = \int_0^t f(\tau) d\tau$

Warning:: This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.

Reimplemented from ForwardRateStructure.

Definition at line 124 of file forwardspreadedtermstructure.hpp.