InterpolatedSpreadDiscountCurve< Interpolator > Class Template Reference

#include <ql/termstructures/yield/spreaddiscountcurve.hpp>

Inheritance diagram for InterpolatedSpreadDiscountCurve< Interpolator >:

Public Member Functions
	InterpolatedSpreadDiscountCurve (Handle< YieldTermStructure > baseCurve, std::vector< Date > dates, std::vector< DiscountFactor > dfs, const Interpolator &interpolator={})
YieldTermStructure interface
DayCounter	dayCounter () const override
	the day counter used for date/time conversion
Natural	settlementDays () const override
	the settlementDays used for reference date calculation
Calendar	calendar () const override
	the calendar used for reference and/or option date calculation
const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0
Date	maxDate () const override
	the latest date for which the curve can return values
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
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Time	maxTime () const
	the latest time for which the curve can return values
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled

YieldTermStructure implementation
std::vector< Date >	dates_
DiscountFactor	discountImpl (Time) const override
	discount factor calculation
void	update () override

other inspectors
const Handle< YieldTermStructure > &	baseCurve () const
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
	InterpolatedSpreadDiscountCurve (Handle< YieldTermStructure > baseCurve, const Interpolator &interpolator)

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
Protected Member Functions inherited from InterpolatedCurve< Interpolator >
	InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())
	InterpolatedCurve (std::vector< Time > times, const Interpolator &i=Interpolator())
	InterpolatedCurve (Size n, const Interpolator &i=Interpolator())
	InterpolatedCurve (const Interpolator &i=Interpolator())
	InterpolatedCurve (const InterpolatedCurve &c)
InterpolatedCurve &	operator= (const InterpolatedCurve &c)
	InterpolatedCurve (InterpolatedCurve &&c) noexcept
InterpolatedCurve &	operator= (InterpolatedCurve &&c) noexcept
void	setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)
void	setupInterpolation ()
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_
std::vector< Time >	times_
std::vector< Real >	data_
Interpolation	interpolation_
Interpolator	interpolator_
Date	maxDate_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedSpreadDiscountCurve< Interpolator >

Yield curve based on interpolation of discount factors applied as a multiplicative spread to the base YieldTermStructure

The discount factors spread at any given date is interpolated between the input data.

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.

Member Function Documentation

dayCounter()

template<class T>

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

settlementDays()

template<class T>

Natural settlementDays ( ) const

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

calendar()

template<class T>

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

referenceDate()

template<class T>

const Date & referenceDate ( ) const

overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

maxDate()

template<class T>

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

discountImpl()

template<class T>

DiscountFactor discountImpl ( Time ) const

overrideprotectedvirtual

discount factor calculation

Implements YieldTermStructure.

update()

template<class T>

void update ( )

overrideprotectedvirtual

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.

Implements Observer.