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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2007 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file zerospreadedtermstructure.hpp
\brief Zero spreaded term structure
*/
#ifndef quantlib_zero_spreaded_term_structure_hpp
#define quantlib_zero_spreaded_term_structure_hpp
#include <ql/termstructures/yield/zeroyieldstructure.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
//! Term structure with an added spread on the zero yield 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.
\ingroup yieldtermstructures
\test
- 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.
*/
class ZeroSpreadedTermStructure : public ZeroYieldStructure {
public:
ZeroSpreadedTermStructure(const Handle<YieldTermStructure>&,
const Handle<Quote>& spread,
Compounding comp = Continuous,
Frequency freq = NoFrequency,
const DayCounter& dc = DayCounter());
//! \name YieldTermStructure interface
//@{
DayCounter dayCounter() const { return originalCurve_->dayCounter(); }
Calendar calendar() const;
const Date& referenceDate() const;
Date maxDate() const;
Time maxTime() const;
//@}
protected:
//! returns the spreaded zero yield rate
Rate zeroYieldImpl(Time) const;
//! returns the spreaded forward rate
/* This method must disappear should the spread become a curve */
Rate forwardImpl(Time) const;
private:
Handle<YieldTermStructure> originalCurve_;
Handle<Quote> spread_;
Compounding comp_;
Frequency freq_;
DayCounter dc_;
};
inline ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(
const Handle<YieldTermStructure>& h,
const Handle<Quote>& spread,
Compounding comp,
Frequency freq,
const DayCounter& dc)
: originalCurve_(h), spread_(spread), comp_(comp), freq_(freq), dc_(dc) {
//QL_REQUIRE(h->dayCounter()==dc_,
// "spread daycounter (" << dc_ <<
// ") must be the same of the curve to be spreaded (" <<
// originalCurve_->dayCounter() <<
// ")");
registerWith(originalCurve_);
registerWith(spread_);
}
inline Calendar ZeroSpreadedTermStructure::calendar() const {
return originalCurve_->calendar();
}
inline const Date& ZeroSpreadedTermStructure::referenceDate() const {
return originalCurve_->referenceDate();
}
inline Date ZeroSpreadedTermStructure::maxDate() const {
return originalCurve_->maxDate();
}
inline Time ZeroSpreadedTermStructure::maxTime() const {
return originalCurve_->maxTime();
}
inline Rate ZeroSpreadedTermStructure::zeroYieldImpl(Time t) const {
// to be fixed: user-defined daycounter should be used
InterestRate zeroRate =
originalCurve_->zeroRate(t, comp_, freq_, true);
InterestRate spreadedRate(zeroRate + spread_->value(),
zeroRate.dayCounter(),
zeroRate.compounding(),
zeroRate.frequency());
return spreadedRate.equivalentRate(t,Continuous,NoFrequency);
}
inline Rate ZeroSpreadedTermStructure::forwardImpl(Time t) const {
return originalCurve_->forwardRate(t, t, comp_, freq_, true)
+ spread_->value();
}
}
#endif
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