QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
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YieldTermStructure Class Referenceabstract

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(), 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 >())
 
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 ()
 
- 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 ()
 
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 DatereferenceDate () 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 &)
 
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
 

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 boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- 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

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.

Constructor & Destructor Documentation

◆ YieldTermStructure()

QL_DEPRECATED YieldTermStructure ( const DayCounter dc,
const std::vector< Handle< Quote > > &  jumps,
const std::vector< Date > &  jumpDates = std::vector< Date >() 
)
Deprecated:
Passing jumps without a reference date never worked correctly. Use one of the other constructors instead. Deprecated in version 1.19.

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 ( )
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.