PiecewiseYieldCurve< Traits, Interpolator, Bootstrap > Class Template Reference

Piecewise yield term structure. More...

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

Inheritance 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={})
	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={})
	PiecewiseYieldCurve (Natural settlementDays, const Calendar &calendar, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const DayCounter &dayCounter, 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
Public Member Functions inherited from LazyObject
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
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 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 ()

LazyObject interface
class	Bootstrap< this_curve >

Observer interface
void	update () override
template<class... Args>
	PiecewiseYieldCurve (std::vector< ext::shared_ptr< typename Traits::helper > > instruments, bootstrap_type bootstrap, Args &&... args)

Additional Inherited Members
virtual void	calculate () const
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.

Member Function Documentation

update()

template<class C, class I, template< class > class B>

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.