QuantLib_ZeroSpreadedTermStructure man page

ZeroSpreadedTermStructure — Term structure with an added spread on the zero yield rate.


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

Inherits ZeroYieldStructure.

Public Member Functions

ZeroSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread, Compounding comp=Continuous, Frequency freq=NoFrequency, const DayCounter &dc=DayCounter())

YieldTermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
Calendar calendar () const
the calendar used for reference and/or option date calculation
Natural settlementDays () const
the settlementDays used for reference 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
Time maxTime () const
the latest time for which the curve can return values

Observer interface

void update ()

Protected Member Functions

Rate zeroYieldImpl (Time) const
returns the spreaded zero yield rate
Rate forwardImpl (Time) const
returns the spreaded forward rate

Additional Inherited Members

Detailed Description

Term structure with an added spread on the zero yield rate.


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.


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.

Member Function Documentation

void update () [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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Referenced By

ZeroSpreadedTermStructure(3) is an alias of QuantLib_ZeroSpreadedTermStructure(3).

QuantLib Version 1.8.1 Fri Sep 23 2016