Spreaded Price term structure. More...
#include <qle/termstructures/spreadedpricetermstructure.hpp>
Public Member Functions | |
SpreadedPriceTermStructure (const QuantLib::Handle< PriceTermStructure > &referenceCurve, const std::vector< QuantLib::Real > ×, const std::vector< QuantLib::Handle< QuantLib::Quote >> &priceSpreads) | |
times should be consistent with reference curve day counter | |
QuantLib::Date | maxDate () const override |
void | update () override |
const QuantLib::Date & | referenceDate () const override |
QuantLib::Calendar | calendar () const override |
QuantLib::Natural | settlementDays () const override |
QuantLib::Time | minTime () const override |
The minimum time for which the curve can return values. | |
const QuantLib::Currency & | currency () const override |
The currency in which prices are expressed. | |
std::vector< QuantLib::Date > | pillarDates () const override |
The pillar dates for the PriceTermStructure. | |
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 |
Additional Inherited Members | |
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. | |
Spreaded Price term structure.