weighted yield term structure More...
#include <qle/termstructures/weightedyieldtermstructure.hpp>
Protected Member Functions | |
Real | discountImpl (Time t) const override |
Protected Attributes | |
const Handle< YieldTermStructure > | yts1_ |
const Handle< YieldTermStructure > | yts2_ |
const Real | w1_ |
const Real | w2_ |
weighted yield term structure
this yield term structure is defined by discount factors given by a weighted geometric average of discount factors of underlying curves; this corresponds to a weighted arithmetic average of instantaneous forward rates and can be used to interpolate e.g. a Euribor2M curve between Euribor1M and Euribor3M (using w1=w2=0.5)