QuantLib: InterpolatedDiscountCurve< Interpolator

YieldTermStructure based on interpolation of discount factors. More...

#include <discountcurve.hpp>

Inheritance diagram for InterpolatedDiscountCurve< Interpolator >:

Collaboration diagram for InterpolatedDiscountCurve< Interpolator >:

Public Member Functions
	InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

	InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)

	InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Interpolator &interpolator)

TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values More...

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 More...

	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...

	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~TermStructure () override=default

virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...

Time	timeFromReference (const Date &date) const
	date/time conversion More...

virtual Time	maxTime () const
	the latest time for which the curve can return values More...

virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...

virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation More...

virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation More...

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~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	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

YieldTermStructure implementation
std::vector< Date >	dates_

DiscountFactor	discountImpl (Time) const override
	discount factor calculation More...

void	initialize ()

other inspectors
const std::vector< Time > &	times () const

const std::vector< Date > &	dates () const

const std::vector< Real > &	data () const

const std::vector< DiscountFactor > &	discounts () const

std::vector< std::pair< Date, Real > >	nodes () const

	InterpolatedDiscountCurve (const DayCounter &, const Interpolator &interpolator={})

	InterpolatedDiscountCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

	InterpolatedDiscountCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

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

Protected Member Functions inherited from YieldTermStructure
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...

void	checkRange (Time t, bool extrapolate) const
	time-range check More...

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 ()

	~InterpolatedCurve ()=default

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Protected Attributes inherited from InterpolatedCurve< Interpolator >
std::vector< Time >	times_

std::vector< Real >	data_

Interpolation	interpolation_

Interpolator	interpolator_

Date	maxDate_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedDiscountCurve< Interpolator >

YieldTermStructure based on interpolation of discount factors.

Definition at line 41 of file discountcurve.hpp.

Constructor & Destructor Documentation

◆ InterpolatedDiscountCurve() [1/6]

InterpolatedDiscountCurve	(	const std::vector< Date > &	dates,
		const std::vector< DiscountFactor > &	dfs,
		const DayCounter &	dayCounter,
		const Calendar &	cal = `Calendar()`,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	interpolator = `{}`
	)

◆ InterpolatedDiscountCurve() [2/6]

InterpolatedDiscountCurve	(	const std::vector< Date > &	dates,
		const std::vector< DiscountFactor > &	dfs,
		const DayCounter &	dayCounter,
		const Calendar &	calendar,
		const Interpolator &	interpolator
	)

◆ InterpolatedDiscountCurve() [3/6]

InterpolatedDiscountCurve	(	const std::vector< Date > &	dates,
		const std::vector< DiscountFactor > &	dfs,
		const DayCounter &	dayCounter,
		const Interpolator &	interpolator
	)

◆ InterpolatedDiscountCurve() [4/6]

InterpolatedDiscountCurve	(	const DayCounter &	,
		const Interpolator &	interpolator = `{}`
	)

explicitprotected

◆ InterpolatedDiscountCurve() [5/6]

InterpolatedDiscountCurve	(	const Date &	referenceDate,
		const DayCounter &	,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	interpolator = `{}`
	)

protected

◆ InterpolatedDiscountCurve() [6/6]

InterpolatedDiscountCurve	(	Natural	settlementDays,
		const Calendar &	,
		const DayCounter &	,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	interpolator = `{}`
	)

protected

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 116 of file discountcurve.hpp.

◆ times()

const std::vector< Time > & times

Definition at line 124 of file discountcurve.hpp.

◆ dates()

const std::vector< Date > & dates

Definition at line 130 of file discountcurve.hpp.

◆ data()

const std::vector< Real > & data

Definition at line 136 of file discountcurve.hpp.

◆ discounts()

const std::vector< DiscountFactor > & discounts

Definition at line 142 of file discountcurve.hpp.

◆ nodes()

std::vector< std::pair< Date, Real > > nodes

Definition at line 148 of file discountcurve.hpp.

◆ discountImpl()

DiscountFactor discountImpl ( Time ) const

overrideprotectedvirtual

discount factor calculation

Implements YieldTermStructure.

◆ initialize()

void initialize

private

Definition at line 245 of file discountcurve.hpp.

Member Data Documentation

◆ dates_

std::vector<Date> dates_

mutableprotected

Definition at line 99 of file discountcurve.hpp.

Public Member Functions

YieldTermStructure implementation

other inspectors

Additional Inherited Members