YieldTermStructure Class Reference

Interest-rate term structure. More...

#include <ql/termstructures/yieldtermstructure.hpp>

Inheritance diagram for YieldTermStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	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={})
Discount factors
These methods return the discount factor from a given date or time to the reference date. In the latter case, the time is calculated as a fraction of year from the reference date.
DiscountFactor	discount (const Date &d, bool extrapolate=false) const
DiscountFactor	discount (Time t, bool extrapolate=false) const
Zero-yield rates
These methods return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.
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
Forward rates
These methods returns the forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. If both dates (times) are equal the instantaneous forward rate is returned.
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
Jump inspectors
const std::vector< Date > &	jumpDates () const
const std::vector< Time > &	jumpTimes () const
Observer interface
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
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

Calculations
This method must be implemented in derived classes to perform the actual calculations. When it is called, range check has already been performed; therefore, it must assume that extrapolation is required.
virtual DiscountFactor	discountImpl (Time) const =0
	discount factor calculation

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
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

Interest-rate term structure.

This abstract class defines the interface of concrete interest rate structures which will be derived from this one.

Tests

observability against evaluation date changes is checked.

Examples

FittedBondCurve.cpp.

Member Function Documentation

discount()

DiscountFactor discount	(	Time	t,
		bool	extrapolate = false ) const

The same day-counting rule used by the term structure should be used for calculating the passed time t.

zeroRate() [1/2]

InterestRate zeroRate	(	const Date &	d,
		const DayCounter &	resultDayCounter,
		Compounding	comp,
		Frequency	freq = Annual,
		bool	extrapolate = false ) const

The resulting interest rate has the required daycounting rule.

zeroRate() [2/2]

InterestRate zeroRate	(	Time	t,
		Compounding	comp,
		Frequency	freq = Annual,
		bool	extrapolate = false ) const

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed time t.

forwardRate() [1/3]

InterestRate forwardRate	(	const Date &	d1,
		const Date &	d2,
		const DayCounter &	resultDayCounter,
		Compounding	comp,
		Frequency	freq = Annual,
		bool	extrapolate = false ) const

The resulting interest rate has the required day-counting rule.

forwardRate() [2/3]

InterestRate forwardRate	(	const Date &	d,
		const Period &	p,
		const DayCounter &	resultDayCounter,
		Compounding	comp,
		Frequency	freq = Annual,
		bool	extrapolate = false ) const

The resulting interest rate has the required day-counting rule.

Warning

dates are not adjusted for holidays

forwardRate() [3/3]

InterestRate forwardRate	(	Time	t1,
		Time	t2,
		Compounding	comp,
		Frequency	freq = Annual,
		bool	extrapolate = false ) const

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed times t1 and t2.

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.

Reimplemented in ZeroSpreadedTermStructure.

discountImpl()

virtual DiscountFactor discountImpl ( Time ) const

protectedpure virtual

discount factor calculation

Implemented in ForwardRateStructure, ImpliedTermStructure, InterpolatedDiscountCurve< Interpolator >, InterpolatedDiscountCurve< LogLinear >, InterpolatedSimpleZeroCurve< Interpolator >, InterpolatedSpreadDiscountCurve< Interpolator >, InterpolatedSpreadDiscountCurve< LogLinear >, and ZeroYieldStructure.