Statically Corrected Yield Term Structure. More...
#include <qle/termstructures/staticallycorrectedyieldtermstructure.hpp>
Public Member Functions | |
StaticallyCorrectedYieldTermStructure (const Handle< YieldTermStructure > &floatingTermStructure, const Handle< YieldTermStructure > &fixedSourceTermStructure, const Handle< YieldTermStructure > &fixedTargetTermStructure, const YieldCurveRollDown &rollDown=ForwardForward) | |
Date | maxDate () const override |
void | update () override |
const Date & | referenceDate () const override |
Calendar | calendar () const override |
Natural | settlementDays () const override |
void | flushCache () |
Protected Member Functions | |
Real | discountImpl (Time t) const override |
Statically Corrected Yield Term Structure.
This termstructure takes a floating reference date term structure and two fixed reference date term structures, applying a static correction to the floating ts implied by the two fixed ones. Usually the floating term structure will coincide with the first fixed at construction time. Also, the two fixed termstructures should have the same reference date and all three termstructures should have the same day counter.