Interpolated price curve. More...
#include <qle/termstructures/pricecurve.hpp>
Public Member Functions | |
Constructors | |
InterpolatedPriceCurve (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dc, const QuantLib::Currency ¤cy, const Interpolator &interpolator=Interpolator()) | |
Curve constructed from periods and prices. No conventions are applied in getting to a date from a period. | |
InterpolatedPriceCurve (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Handle< QuantLib::Quote > > "es, const QuantLib::DayCounter &dc, const QuantLib::Currency ¤cy, const Interpolator &interpolator=Interpolator()) | |
Curve constructed from periods and quotes. No conventions are applied in getting to a date from a period. | |
InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dc, const QuantLib::Currency ¤cy, const Interpolator &interpolator=Interpolator()) | |
Curve constructed from dates and prices. | |
InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Handle< QuantLib::Quote > > "es, const QuantLib::DayCounter &dc, const QuantLib::Currency ¤cy, const Interpolator &interpolator=Interpolator()) | |
Curve constructed from dates and quotes. | |
Observer interface | |
void | update () override |
TermStructure interface | |
QuantLib::Date | maxDate () const override |
QuantLib::Time | maxTime () const override |
PriceTermStructure interface | |
QuantLib::Time | minTime () const override |
The minimum time for which the curve can return values. | |
std::vector< QuantLib::Date > | pillarDates () const override |
The pillar dates for the PriceTermStructure. | |
const QuantLib::Currency & | currency () const override |
The currency in which prices are expressed. | |
Public Member Functions inherited from PriceTermStructure | |
PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter()) | |
PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter()) | |
PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter()) | |
QuantLib::Real | price (QuantLib::Time t, bool extrapolate=false) const |
QuantLib::Real | price (const QuantLib::Date &d, bool extrapolate=false) const |
void | update () override |
Protected Member Functions | |
LazyObject interface | |
void | performCalculations () const override |
Protected Member Functions inherited from PriceTermStructure | |
void | checkRange (QuantLib::Time t, bool extrapolate) const |
Extra time range check for minimum time, then calls TermStructure::checkRange. | |
PriceTermStructure implementation | |
std::vector< QuantLib::Date > | dates_ |
QuantLib::Real | priceImpl (QuantLib::Time t) const override |
Price calculation. | |
Inspectors | |
const std::vector< QuantLib::Time > & | times () const |
const std::vector< QuantLib::Real > & | prices () const |
InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dc, const QuantLib::Currency ¤cy, const Interpolator &interpolator=Interpolator()) | |
Used by PiecewisePriceCurve. | |
Interpolated price curve.
Class representing a curve of projected prices in the future.