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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a></div>
<h1>TermStructure Class Reference</h1><!-- doxytag: class="QuantLib::TermStructure" --><!-- doxytag: inherits="QuantLib::Observer,QuantLib::Observable,QuantLib::Extrapolator" --><code>#include <ql/termstructure.hpp></code>
<p>
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Inheritance diagram for TermStructure:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_term_structure__inherit__graph.png" border="0" usemap="#_term_structure__inherit__map" alt="Inheritance graph"></center>
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<area shape="rect" href="class_quant_lib_1_1_inflation_term_structure.html" title="Interface for inflation term structures." alt="" coords="5,161,171,188"><area shape="rect" href="class_quant_lib_1_1_volatility_term_structure.html" title="Volatility term structure." alt="" coords="195,161,360,188"><area shape="rect" href="class_quant_lib_1_1_yield_term_structure.html" title="Interest-rate term structure." alt="" coords="384,161,528,188"><area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="127,7,207,33"><area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observables." alt="" coords="231,7,324,33"><area shape="rect" href="class_quant_lib_1_1_extrapolator.html" title="base class for classes possibly allowing extrapolation" alt="" coords="348,7,449,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_term_structure-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Basic term-structure functionality. <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">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText">There are three ways in which a term structure can keep track of its reference date. The first is that such date is fixed; the second is that it is determined by advancing the current date of a given number of business days; and the third is that it is based on the reference date of some other structure.<p>
In the first case, the constructor taking a date is to be used; the default implementation of referenceDate() will then return such date. In the second case, the constructor taking a number of days and a calendar is to be used; referenceDate() will return a date calculated based on the current evaluation date, and the term structure and its observers will be notified when the evaluation date changes. In the last case, the referenceDate() method must be overridden in derived classes so that it fetches and return the appropriate date. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#4a8e0f324391a12454f11f5f5d5e66e8">TermStructure</a> (const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">default constructor <a href="#4a8e0f324391a12454f11f5f5d5e66e8"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44918f70ab345cad67a287d46641f20f"></a><!-- doxytag: member="QuantLib::TermStructure::TermStructure" ref="44918f70ab345cad67a287d46641f20f" args="(const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#44918f70ab345cad67a287d46641f20f">TermStructure</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b72309c6d49bd4b6dc5b9ed09b67c7b9"></a><!-- doxytag: member="QuantLib::TermStructure::TermStructure" ref="b72309c6d49bd4b6dc5b9ed09b67c7b9" args="(Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#b72309c6d49bd4b6dc5b9ed09b67c7b9">TermStructure</a> (<a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Dates</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::TermStructure::dayCounter" ref="c147d63df367bbe5282b76b1f98cb9be" args="() const " -->
virtual <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#c147d63df367bbe5282b76b1f98cb9be">dayCounter</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9d5c437961b8f9e30cffb723777ed7c6"></a><!-- doxytag: member="QuantLib::TermStructure::maxDate" ref="9d5c437961b8f9e30cffb723777ed7c6" args="() const =0" -->
virtual <a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#9d5c437961b8f9e30cffb723777ed7c6">maxDate</a> () const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3b8677915d5a95b48578b82ed1d7508f"></a><!-- doxytag: member="QuantLib::TermStructure::maxTime" ref="3b8677915d5a95b48578b82ed1d7508f" args="() const " -->
virtual <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#3b8677915d5a95b48578b82ed1d7508f">maxTime</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest time for which the curve can return values <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a9ae6cc6009ac64d4f265065eab08be0"></a><!-- doxytag: member="QuantLib::TermStructure::referenceDate" ref="a9ae6cc6009ac64d4f265065eab08be0" args="() const " -->
virtual const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a9ae6cc6009ac64d4f265065eab08be0">referenceDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the date at which discount = 1.0 and/or variance = 0.0 <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e9a0f3904cff2fe61596c593dd0b6448"></a><!-- doxytag: member="QuantLib::TermStructure::calendar" ref="e9a0f3904cff2fe61596c593dd0b6448" args="() const " -->
virtual <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#e9a0f3904cff2fe61596c593dd0b6448">calendar</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the calendar used for reference and/or option date calculation <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b6506da60fec85c6f146f1b43116de70"></a><!-- doxytag: member="QuantLib::TermStructure::settlementDays" ref="b6506da60fec85c6f146f1b43116de70" args="() const " -->
virtual <a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#b6506da60fec85c6f146f1b43116de70">settlementDays</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the settlementDays used for reference date calculation <br></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_term_structure.html#c5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="56d243294c1b34335d067270796f5668"></a><!-- doxytag: member="QuantLib::TermStructure::timeFromReference" ref="56d243294c1b34335d067270796f5668" args="(const Date &date) const " -->
<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#56d243294c1b34335d067270796f5668">timeFromReference</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">date/time conversion <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="176ae6900633bdc8f22af01b99e7165b"></a><!-- doxytag: member="QuantLib::TermStructure::checkRange" ref="176ae6900633bdc8f22af01b99e7165b" args="(const Date &, bool extrapolate) const " -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#176ae6900633bdc8f22af01b99e7165b">checkRange</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &, bool extrapolate) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">date-range check <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="63453af27c24ca1149b8c41d86174290"></a><!-- doxytag: member="QuantLib::TermStructure::checkRange" ref="63453af27c24ca1149b8c41d86174290" args="(Time t, bool extrapolate) const " -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#63453af27c24ca1149b8c41d86174290">checkRange</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, bool extrapolate) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">time-range check <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3cfce9cb19de6f0604adee64b6d80a35"></a><!-- doxytag: member="QuantLib::TermStructure::moving_" ref="3cfce9cb19de6f0604adee64b6d80a35" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>moving_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="021eab7f1f44c1c71b8dfd29b9c4864b"></a><!-- doxytag: member="QuantLib::TermStructure::calendar_" ref="021eab7f1f44c1c71b8dfd29b9c4864b" args="" -->
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><b>calendar_</b></td></tr>
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<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="4a8e0f324391a12454f11f5f5d5e66e8"></a><!-- doxytag: member="QuantLib::TermStructure::TermStructure" ref="4a8e0f324391a12454f11f5f5d5e66e8" args="(const DayCounter &dc=DayCounter())" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"> <em>dc</em> = <code><a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>()</code> </td>
<td> ) </td>
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<p>
default constructor
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000090">Warning:</a></b></dt><dd>term structures initialized by means of this constructor must manage their own reference date by overriding the <a class="el" href="class_quant_lib_1_1_term_structure.html#a9ae6cc6009ac64d4f265065eab08be0" title="the date at which discount = 1.0 and/or variance = 0.0">referenceDate()</a> method. </dd></dl>
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<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="c5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::TermStructure::update" ref="c5c54df7ed3b930268c8d7752c101725" args="()" -->
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<td class="memname">void update </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"><code> [virtual]</code></td>
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<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>Implements <a class="el" href="class_quant_lib_1_1_observer.html#99b02345a8a15d3c5ea2844a2253f510">Observer</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_abcd_atm_vol_curve.html#c5c54df7ed3b930268c8d7752c101725">AbcdAtmVolCurve</a>, <a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#cd36d7881ea8503d5c5824e7a5ad6c7e">SabrVolSurface</a>, <a class="el" href="class_quant_lib_1_1_extended_discount_curve.html#c5c54df7ed3b930268c8d7752c101725">ExtendedDiscountCurve</a>, <a class="el" href="class_quant_lib_1_1_piecewise_yo_y_inflation_curve.html#c5c54df7ed3b930268c8d7752c101725">PiecewiseYoYInflationCurve</a>, <a class="el" href="class_quant_lib_1_1_piecewise_zero_inflation_curve.html#c5c54df7ed3b930268c8d7752c101725">PiecewiseZeroInflationCurve</a>, <a class="el" href="class_quant_lib_1_1_cap_floor_term_vol_curve.html#c5c54df7ed3b930268c8d7752c101725">CapFloorTermVolCurve</a>, <a class="el" href="class_quant_lib_1_1_cap_floor_term_vol_surface.html#c5c54df7ed3b930268c8d7752c101725">CapFloorTermVolSurface</a>, <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html#c5c54df7ed3b930268c8d7752c101725">FittedBondDiscountCurve</a>, <a class="el" href="class_quant_lib_1_1_flat_forward.html#c5c54df7ed3b930268c8d7752c101725">FlatForward</a>, and <a class="el" href="class_quant_lib_1_1_piecewise_zero_spreaded_term_structure.html#c5c54df7ed3b930268c8d7752c101725">PiecewiseZeroSpreadedTermStructure</a>.</p>
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