QuantLib: ForwardSpreadedTermStructure Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | List of all members
ForwardSpreadedTermStructure Class Reference
Term structures

Term structure with added spread on the instantaneous forward rate. More...

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

Inheritance diagram for ForwardSpreadedTermStructure:
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## Public Member Functions
| ForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread)
TermStructure interface
DayCounter | dayCounter () const
| the day counter used for date/time conversion
Date | maxDate () const
| the latest date for which the curve can return values
Time | maxTime () const
| the latest time for which the curve can return values
const Date & | referenceDate () const
| the date at which discount = 1.0 and/or variance = 0.0
Calendar | calendar () const
| the calendar used for reference and/or option date calculation
Natural | settlementDays () const
| the settlementDays used for reference date calculation
Observer interface
void | update ()
Public Member Functions inherited from ForwardRateStructure
| ForwardRateStructure (const DayCounter &dayCounter=DayCounter())
| ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
| ForwardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
QL_DEPRECATED | ForwardRateStructure (const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >())
Public Member Functions inherited from YieldTermStructure
| YieldTermStructure (const DayCounter &dc=DayCounter())
| 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 >())
QL_DEPRECATED | YieldTermStructure (const DayCounter &dc, const std::vector< Handle< Quote > > &jumps, 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
virtual | ~TermStructure ()
Time | timeFromReference (const Date &date) const
| date/time conversion
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 &)
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

## ForwardRateStructure implementation
Rate | forwardImpl (Time t) const
| instantaneous forward-rate calculation
Rate | zeroYieldImpl (Time t) const

## Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator
Protected Member Functions inherited from ForwardRateStructure
DiscountFactor | discountImpl (Time) const
Protected Member Functions inherited from YieldTermStructure
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
Protected Attributes inherited from TermStructure
bool | moving_
bool | updated_
Calendar | calendar_

## Detailed Description

Term structure with added spread on the instantaneous forward rate.

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.

Tests:
  - the correctness of the returned values is tested by checking them against numerical calculations.
  - observability against changes in the underlying term structure and in the added spread is checked.

## Member Function Documentation

## ◆ update()

void update | ( |  | ) |
| virtual

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 |  | ) | const
| protectedvirtual

Returns the zero yield rate for the given date calculating it from the instantaneous forward rate \( f(t) \) as

\[ z(t) = \int_0^t f(\tau) d\tau \]

Warning:
  This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.

Reimplemented from ForwardRateStructure.