QuantLib: TermStructure Class Reference

Basic term-structure functionality. More...

#include <ql/termstructure.hpp>

Inheritance diagram for TermStructure:

Public Member Functions
Constructors
There are three ways in which a term structure can keep track of its reference date. The first is that such date is fixed; the second is that it is determined by advancing the current date of a given number of business days; and the third is that it is based on the reference date of some other structure. In the first case, the constructor taking a date is to be used; the default implementation of referenceDate() will then return such date. In the second case, the constructor taking a number of days and a calendar is to be used; referenceDate() will return a date calculated based on the current evaluation date, and the term structure and its observers will be notified when the evaluation date changes. In the last case, the referenceDate() method must be overridden in derived classes so that it fetches and return the appropriate date.
	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
Dates and Time
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Date	maxDate () const =0
	the latest date for which the curve can return values
virtual Time	maxTime () const
	the latest time for which the curve can return values
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
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation
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

Observer interface
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_
void	update () override
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check

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

Detailed Description

Basic term-structure functionality.

Constructor & Destructor Documentation

◆ TermStructure()

TermStructure ( DayCounter dc = DayCounter() )

explicit

default constructor

Warning: term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const

virtual

◆ maxDate()

virtual Date maxDate ( ) const

pure virtual

the latest date for which the curve can return values

◆ maxTime()

Time maxTime ( ) const

virtual

the latest time for which the curve can return values

Reimplemented in FactorSpreadedHazardRateCurve, ForwardSpreadedTermStructure, SabrVolSurface, SpreadedHazardRateCurve, SwaptionVolatilityCube, and ZeroSpreadedTermStructure.

◆ referenceDate()

virtual const Date & referenceDate ( ) const

virtual

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

Reimplemented in FactorSpreadedHazardRateCurve, ForwardSpreadedTermStructure, InterpolatedPiecewiseForwardSpreadedTermStructure< Interpolator >, InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >, InterpolatedPiecewiseZeroSpreadedTermStructure< Linear >, InterpolatedSpreadDiscountCurve< Interpolator >, InterpolatedSpreadDiscountCurve< LogLinear >, LocalVolCurve, LocalVolSurface, QuantoTermStructure, SabrVolSurface, SpreadedHazardRateCurve, SwaptionVolatilityCube, UltimateForwardTermStructure, and ZeroSpreadedTermStructure.

◆ calendar()

Calendar calendar ( ) const

virtual

the calendar used for reference and/or option date calculation

Reimplemented in FactorSpreadedHazardRateCurve, ForwardSpreadedTermStructure, ImpliedTermStructure, InterpolatedPiecewiseForwardSpreadedTermStructure< Interpolator >, InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >, InterpolatedPiecewiseZeroSpreadedTermStructure< Linear >, InterpolatedSpreadDiscountCurve< Interpolator >, InterpolatedSpreadDiscountCurve< LogLinear >, LocalVolCurve, QuantoTermStructure, SabrVolSurface, SpreadedHazardRateCurve, SwaptionVolatilityCube, UltimateForwardTermStructure, and ZeroSpreadedTermStructure.

◆ settlementDays()

Natural settlementDays ( ) const

virtual

the settlementDays used for reference date calculation

Reimplemented in ForwardSpreadedTermStructure, ImpliedTermStructure, InterpolatedPiecewiseForwardSpreadedTermStructure< Interpolator >, InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >, InterpolatedPiecewiseZeroSpreadedTermStructure< Linear >, InterpolatedSpreadDiscountCurve< Interpolator >, InterpolatedSpreadDiscountCurve< LogLinear >, QuantoTermStructure, SabrVolSurface, SwaptionVolatilityCube, UltimateForwardTermStructure, and ZeroSpreadedTermStructure.

◆ 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.

Implements Observer.

Reimplemented in UltimateForwardTermStructure, YieldTermStructure, and ZeroSpreadedTermStructure.

Public Member Functions

Observer interface

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ TermStructure()

Member Function Documentation

◆ dayCounter()

◆ maxDate()

◆ maxTime()

◆ referenceDate()

◆ calendar()

◆ settlementDays()

◆ update()