impliedtermstructure.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2008 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_implied_term_structure_hpp
#define quantlib_implied_term_structure_hpp
 
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
 
namespace QuantLib {
 
 
    class ImpliedTermStructure : public YieldTermStructure {
      public:
        ImpliedTermStructure(Handle<YieldTermStructure>, const Date& referenceDate);
 
        DayCounter dayCounter() const override;
        Calendar calendar() const override;
        Natural settlementDays() const override;
        Date maxDate() const override;
 
      protected:
        DiscountFactor discountImpl(Time) const override;
      private:
        Handle<YieldTermStructure> originalCurve_;
    };
 
 
    // inline definitions
 
    inline ImpliedTermStructure::ImpliedTermStructure(Handle<YieldTermStructure> h,
                                                      const Date& referenceDate)
    : YieldTermStructure(referenceDate), originalCurve_(std::move(h)) {
        registerWith(originalCurve_);
    }
 
    inline DayCounter ImpliedTermStructure::dayCounter() const {
        return originalCurve_->dayCounter();
    }
 
    inline Calendar ImpliedTermStructure::calendar() const {
        return originalCurve_->calendar();
    }
 
    inline Natural ImpliedTermStructure::settlementDays() const {
        return originalCurve_->settlementDays();
    }
 
    inline Date ImpliedTermStructure::maxDate() const {
        return originalCurve_->maxDate();
    }
 
    inline DiscountFactor ImpliedTermStructure::discountImpl(Time t) const {
        /* t is relative to the current reference date
           and needs to be converted to the time relative
           to the reference date of the original curve */
        Date ref = referenceDate();
        Time originalTime = t + dayCounter().yearFraction(
                                        originalCurve_->referenceDate(), ref);
        /* discount at evaluation date cannot be cached
           since the original curve could change between
           invocations of this method */
        return originalCurve_->discount(originalTime, true) /
               originalCurve_->discount(ref, true);
    }
 
}
 
 
#endif