yield plus default yield term structure
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#include <qle/termstructures/yieldplusdefaultyieldtermstructure.hpp>
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| YieldPlusDefaultYieldTermStructure (const Handle< YieldTermStructure > &yts, const std::vector< Handle< DefaultProbabilityTermStructure > > &df, const std::vector< Handle< Quote > > &rr, const std::vector< Real > &weights) |
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Date | maxDate () const override |
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const Date & | referenceDate () const override |
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Real | discountImpl (Time t) const override |
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const Handle< YieldTermStructure > | yts_ |
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const std::vector< Handle< DefaultProbabilityTermStructure > > | df_ |
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const std::vector< Handle< Quote > > | rr_ |
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const std::vector< Real > | weights_ |
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yield plus default yield term structure
this yield term structure is defined by discount factors given by a weighted sum of survival probabilities of underlying default curves plus the discount factor of a reference yield curve