QuantLib: InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator > Class Template Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | Protected Member Functions | List of all members
InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator > Class Template Reference
Term structures

Yield curve with an added vector of spreads on the zero-yield rate. More...

`#include <ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp>`

Inheritance diagram for InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >:
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## Public Member Functions
| InterpolatedPiecewiseZeroSpreadedTermStructure (const Handle< YieldTermStructure > &, const std::vector< Handle< Quote > > &spreads, const std::vector< Date > &dates, Compounding comp=Continuous, Frequency freq=NoFrequency, const DayCounter &dc=DayCounter(), const Interpolator &factory=Interpolator())
YieldTermStructure interface
DayCounter | dayCounter () const
| the day counter used for date/time conversion
Natural | settlementDays () const
| the settlementDays used for reference date calculation
Calendar | calendar () const
| the calendar used for reference and/or option date calculation
const Date & | referenceDate () const
| the date at which discount = 1.0 and/or variance = 0.0
Date | maxDate () const
| the latest date for which the curve can return values
Public Member Functions inherited from ZeroYieldStructure
| ZeroYieldStructure (const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
| ZeroYieldStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
| ZeroYieldStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
Public Member Functions inherited from YieldTermStructure
| YieldTermStructure (const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
| YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
| YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
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 ()
Public Member Functions inherited from TermStructure
| TermStructure (const DayCounter &dc=DayCounter())
| default constructor More...
| TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
| initialize with a fixed reference date
| TermStructure (Natural settlementDays, const Calendar &, const 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 boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()
virtual void | deepUpdate ()
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
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

## Protected Member Functions
Rate | zeroYieldImpl (Time) const
| returns the spreaded zero yield rate
void | update ()
Protected Member Functions inherited from ZeroYieldStructure
DiscountFactor | discountImpl (Time) const
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.
Protected Member Functions inherited from TermStructure
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 std::set< boost::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator
Protected Attributes inherited from TermStructure
bool | moving_
bool | updated_
Calendar | calendar_

## Detailed Description

### template<class Interpolator>
class QuantLib::InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >

Yield curve with an added vector of spreads on the zero-yield rate.

The zero-yield spread at any given date is interpolated between the input data.

Note
  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.

## Member Function Documentation

## ◆ update()

void update | ( |  | ) |
| protectedvirtual

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.