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
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: ZeroSpreadedTermStructure Class 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 0.9.0</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="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="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="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_zero_spreaded_term_structure.html">ZeroSpreadedTermStructure</a></div>
<h1>ZeroSpreadedTermStructure Class Reference<br>
<small>
[<a class="el" href="group__yieldtermstructures.html">Term structures</a>]</small>
</h1><!-- doxytag: class="QuantLib::ZeroSpreadedTermStructure" --><!-- doxytag: inherits="QuantLib::ZeroYieldStructure" --><code>#include <ql/termstructures/yield/zerospreadedtermstructure.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for ZeroSpreadedTermStructure:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_zero_spreaded_term_structure__inherit__graph.png" border="0" usemap="#_zero_spreaded_term_structure__inherit__map" alt="Inheritance graph"></center>
<map name="_zero_spreaded_term_structure__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_zero_yield_structure.html" title="Zero-yield term structure." alt="" coords="37,7,179,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_zero_spreaded_term_structure-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Term structure with an added spread on the zero yield rate.
<p>
<dl class="note" compact><dt><b>Note:</b></dt><dd>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.</dd></dl>
<dl compact><dt><b><a class="el" href="test.html#_test000122">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned values is tested by checking them against numerical calculations.</li><li>observability against changes in the underlying term structure and in the added spread is checked. </li></ul>
</dd></dl>
<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 class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="627395c2115caf6b3835a36a49983100"></a><!-- doxytag: member="QuantLib::ZeroSpreadedTermStructure::ZeroSpreadedTermStructure" ref="627395c2115caf6b3835a36a49983100" args="(const Handle< YieldTermStructure > &, const Handle< Quote > &spread, Compounding comp=Continuous, Frequency freq=NoFrequency, const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><b>ZeroSpreadedTermStructure</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &spread, <a class="el" href="namespace_quant_lib.html#2779d04b4839fd386b5c85bbb96aaf73">Compounding</a> comp=Continuous, <a class="el" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> freq=NoFrequency, 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 colspan="2"><div class="groupHeader">YieldTermStructure interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::ZeroSpreadedTermStructure::dayCounter" ref="c147d63df367bbe5282b76b1f98cb9be" args="() const " -->
<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_zero_spreaded_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="e9a0f3904cff2fe61596c593dd0b6448"></a><!-- doxytag: member="QuantLib::ZeroSpreadedTermStructure::calendar" ref="e9a0f3904cff2fe61596c593dd0b6448" args="() const " -->
<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_zero_spreaded_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="5662908c63119a3b347a7e0ec8544afa"></a><!-- doxytag: member="QuantLib::ZeroSpreadedTermStructure::referenceDate" ref="5662908c63119a3b347a7e0ec8544afa" args="() const " -->
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_zero_spreaded_term_structure.html#5662908c63119a3b347a7e0ec8544afa">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="74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::ZeroSpreadedTermStructure::maxDate" ref="74d8fc5480ca811db8332b7b30597fe9" args="() 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_zero_spreaded_term_structure.html#74d8fc5480ca811db8332b7b30597fe9">maxDate</a> () const </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::ZeroSpreadedTermStructure::maxTime" ref="3b8677915d5a95b48578b82ed1d7508f" args="() 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_zero_spreaded_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 colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5fe572646475bf02f83c3bedfca9a61"></a><!-- doxytag: member="QuantLib::ZeroSpreadedTermStructure::zeroYieldImpl" ref="c5fe572646475bf02f83c3bedfca9a61" args="(Time) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_zero_spreaded_term_structure.html#c5fe572646475bf02f83c3bedfca9a61">zeroYieldImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the spreaded zero yield rate <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa0209491613a4dfe502b77e28b8ab50"></a><!-- doxytag: member="QuantLib::ZeroSpreadedTermStructure::forwardImpl" ref="fa0209491613a4dfe502b77e28b8ab50" args="(Time) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_zero_spreaded_term_structure.html#fa0209491613a4dfe502b77e28b8ab50">forwardImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the spreaded forward rate <br></td></tr>
</table>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
