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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
#ifndef quantlib_piecewise_spread_yield_curve_hpp
#define quantlib_piecewise_spread_yield_curve_hpp
#include <ql/termstructures/iterativebootstrap.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/spreadbootstraptraits.hpp>
#include <utility>
namespace QuantLib {
//! Piecewise spread yield term structure
template <class Traits, class Interpolator,
template <class> class Bootstrap = IterativeBootstrap>
class PiecewiseSpreadYieldCurve
: public PiecewiseYieldCurve<detail::SpreadTraits<Traits>, Interpolator, Bootstrap> {
public:
typedef detail::SpreadTraits<Traits> traits_type;
private:
typedef PiecewiseYieldCurve<traits_type, Interpolator, Bootstrap> base_curve;
public:
//! \name Constructors
//@{
PiecewiseSpreadYieldCurve(
Handle<YieldTermStructure> baseCurve,
std::vector<ext::shared_ptr<typename traits_type::helper>> instruments,
const Interpolator& i = {},
typename base_curve::bootstrap_type bootstrap = {})
: base_curve(std::move(instruments), std::move(bootstrap),
std::move(baseCurve), i) {}
//@}
};
}
#endif
|
