1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: PiecewiseYieldCurve Class Template Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<div class="nav">
<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_piecewise_yield_curve.html">PiecewiseYieldCurve</a></div>
<h1>PiecewiseYieldCurve Class Template Reference<br>
<small>
[<a class="el" href="group__yieldtermstructures.html">Term structures</a>]</small>
</h1><!-- doxytag: class="QuantLib::PiecewiseYieldCurve" --><!-- doxytag: inherits="Traits::template curve::type,QuantLib::LazyObject" --><code>#include <ql/TermStructures/piecewiseyieldcurve.hpp></code>
<p>
Inheritance diagram for PiecewiseYieldCurve:<p><center><img src="class_quant_lib_1_1_piecewise_yield_curve__inherit__graph.png" border="0" usemap="#_piecewise_yield_curve__inherit__map" alt="Inheritance graph"></center>
<map name="_piecewise_yield_curve__inherit__map">
<area href="class_quant_lib_1_1_lazy_object.html" shape="rect" coords="64,82,160,106" alt="">
<area href="class_quant_lib_1_1_observable.html" shape="rect" coords="5,7,104,31" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="128,7,211,31" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_piecewise_yield_curve-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class Traits, class Interpolator><br>
class QuantLib::PiecewiseYieldCurve< Traits, Interpolator ></h3>
Piecewise yield term structure.
<p>
This term structure is bootstrapped on a number of interest rate instruments which are passed as a vector of handles to <a class="el" href="class_quant_lib_1_1_rate_helper.html">RateHelper</a> instances. Their maturities mark the boundaries of the interpolated segments.<p>
Each segment is determined sequentially starting from the earliest period to the latest and is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve.<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000084">Warning:</a></b></dt><dd>The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.</dd></dl>
<p>
<dl compact><dt><b><a class="el" href="test.html#_test000127">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned values is tested by checking them against the original inputs.</li><li>the observability of the term structure is tested. </li></ul>
</dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">YieldTermStructure interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="53d21e09ca3857d3c49b13b23d1bd65d"></a><!-- doxytag: member="QuantLib::PiecewiseYieldCurve::dates" ref="53d21e09ca3857d3c49b13b23d1bd65d" args="() const" -->
const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > & </td><td class="memItemRight" valign="bottom"><b>dates</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6fa1d746e67f372c6e09e4ec9ad8973b"></a><!-- doxytag: member="QuantLib::PiecewiseYieldCurve::maxDate" ref="6fa1d746e67f372c6e09e4ec9ad8973b" args="() const" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maxDate</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9c05af40300cb8466ae21f698a15f728"></a><!-- doxytag: member="QuantLib::PiecewiseYieldCurve::times" ref="9c05af40300cb8466ae21f698a15f728" args="() const" -->
const std::vector< Time > & </td><td class="memItemRight" valign="bottom"><b>times</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4950639c8f60a60050efe2772e1d6a2a"></a><!-- doxytag: member="QuantLib::PiecewiseYieldCurve::maxTime" ref="4950639c8f60a60050efe2772e1d6a2a" args="() const" -->
Time </td><td class="memItemRight" valign="bottom"><b>maxTime</b> () const</td></tr>
<tr><td colspan="2"><div class="groupHeader">Observer interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_piecewise_yield_curve.html#c5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td colspan="2"><br><h2>Friends</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="917aa9b96504fb8ed651232abff00e2d"></a><!-- doxytag: member="QuantLib::PiecewiseYieldCurve::ObjectiveFunction" ref="917aa9b96504fb8ed651232abff00e2d" args="" -->
class </td><td class="memItemRight" valign="bottom"><b>ObjectiveFunction</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="c5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::PiecewiseYieldCurve::update" ref="c5c54df7ed3b930268c8d7752c101725" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void update </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"><code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_lazy_object.html#c5c54df7ed3b930268c8d7752c101725">LazyObject</a>.
</div>
</div><p>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
