InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator > — Yield curve with an added vector of spreads on the zero-yield rate.
Public Member Functions
InterpolatedPiecewiseZeroSpreadedTermStructure (const Handle< YieldTermStructure > &, const std::vector< Handle< Quote > > &spreads, const std::vector< Date > &dates, Compounding comp=Continuous, Frequency freq=NoFrequency, const DayCounter &dc=DayCounter(), const Interpolator &factory=Interpolator())
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 ()
Additional Inherited Members
class QuantLib::InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >" Yield curve with an added vector of spreads on the zero-yield rate.
The zero-yield spread at any given date is interpolated between the input data.
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.
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The man page InterpolatedPiecewiseZeroSpreadedTermStructure(3) is an alias of QuantLib_InterpolatedPiecewiseZeroSpreadedTermStructure(3).