QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
ForwardSpreadedTermStructure Class Reference

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

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

+ Inheritance diagram for ForwardSpreadedTermStructure:

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 DatereferenceDate () 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 &)
 
Observeroperator= (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 &)
 
Observableoperator= (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.