QuantLib_PiecewiseZeroSpreadedTermStructure (3) - Linux Manuals

QuantLib_PiecewiseZeroSpreadedTermStructure: Term structure with an added vector of spreads on the zero-yield rate.

NAME

QuantLib::PiecewiseZeroSpreadedTermStructure - Term structure with an added vector of spreads on the zero-yield rate.

SYNOPSIS

#include <ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp>

Inherits QuantLib::ZeroYieldStructure.

Public Member Functions

PiecewiseZeroSpreadedTermStructure (const Handle< YieldTermStructure > &, const std::vector< Handle< Quote > > &spreads, const std::vector< Date > &dates)

YieldTermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
Natural settlementDays () const
the settlementDays used for reference date calculation
Calendar calendar () const
the calendar used for reference and/or option date calculation
const Date & referenceDate () const
the date at which discount = 1.0 and/or variance = 0.0
Date maxDate () const
the latest date for which the curve can return values

Protected Member Functions

Rate zeroYieldImpl (Time) const
returns the spreaded zero yield rate
void update ()

Detailed Description

Term structure with an added vector of spreads on the zero-yield rate.

The zero-yield spread at any given date is linearly interpolated between the input data.

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.

Member Function Documentation

void update () [protected, virtual]

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.

Reimplemented from TermStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.