UltimateForwardTermStructure Class Reference

Ultimate forward term structure. More...

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

Inheritance diagram for UltimateForwardTermStructure:

Public Member Functions
	UltimateForwardTermStructure (Handle< YieldTermStructure >, Handle< Quote > lastLiquidForwardRate, Handle< Quote > ultimateForwardRate, const Period &firstSmoothingPoint, Real alpha)
YieldTermStructure interface
DayCounter	dayCounter () const override
	the day counter used for date/time conversion
Calendar	calendar () const override
	the calendar used for reference and/or option date calculation
Natural	settlementDays () const override
	the settlementDays used for reference 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 ZeroYieldStructure
	ZeroYieldStructure (const DayCounter &dc=DayCounter())
	ZeroYieldStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
	ZeroYieldStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dc=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
	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

Observer interface
void	update () override
Rate	zeroYieldImpl (Time) const override
	returns the UFR extended zero yield rate

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from ZeroYieldStructure
DiscountFactor	discountImpl (Time) const override
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

Ultimate forward term structure.

Dutch regulatory term structure for pension funds with a parametrized extrapolation mechanism designed for discounting long dated liabilities.

Relevant documentation can be found on the Dutch Central Bank website:

FTK term structure documentation (Financieel toetsingskader): https://www.toezicht.dnb.nl/binaries/50-212329.pdf

UFR 2015 term structure documentation: https://www.toezicht.dnb.nl/binaries/50-234028.pdf

UFR 2019 term structure documentation: https://www.rijksoverheid.nl/documenten/kamerstukken/2019/06/11/advies-commissie-parameters

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 zero rates is tested by checking them against reference values obtained from the official source.
• extrapolated forward is validated.
• rates on the cut-off point are checked against those implied by the base curve.
• inspectors are tested against the base curve.
• incorrect input for cut-off point should raise an exception.
• observability against changes in the underlying term structure and the additional components is checked.

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

calendar()

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

settlementDays()

Natural settlementDays ( ) const

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

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

Reimplemented from TermStructure.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

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.

zeroYieldImpl()

Rate zeroYieldImpl ( Time t ) const

overrideprotectedvirtual

returns the UFR extended zero yield rate

Implements ZeroYieldStructure.