Wrapper class for building yield term structures. More...

#include <ored/marketdata/yieldcurve.hpp>

Public Types
enum class	InterpolationVariable { Zero , Discount , Forward }
	Supported interpolation variables.

enum class	InterpolationMethod { Linear , LogLinear , NaturalCubic , FinancialCubic , ConvexMonotone , Quadratic , LogQuadratic , LogNaturalCubic , LogFinancialCubic , LogCubicSpline , Hermite , CubicSpline , DefaultLogMixedLinearCubic , MonotonicLogMixedLinearCubic , KrugerLogMixedLinearCubic , LogMixedLinearCubicNaturalSpline , ExponentialSplines , NelsonSiegel , Svensson }
	Supported interpolation methods.

Public Member Functions
	YieldCurve (Date asof, YieldCurveSpec curveSpec, const CurveConfigurations &curveConfigs, const Loader &loader, const map< string, QuantLib::ext::shared_ptr< YieldCurve >> &requiredYieldCurves=map< string, QuantLib::ext::shared_ptr< YieldCurve >>(), const map< string, QuantLib::ext::shared_ptr< DefaultCurve >> &requiredDefaultCurves=map< string, QuantLib::ext::shared_ptr< DefaultCurve >>(), const FXTriangulation &fxTriangulation=FXTriangulation(), const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborfallbackConfig=IborFallbackConfig::defaultConfig(), const bool preserveQuoteLinkage=false, const bool buildCalibrationInfo=true, const Market *market=nullptr)
	Constructor. More...

Inspectors
const Handle< YieldTermStructure > &	handle () const

YieldCurveSpec	curveSpec () const

const Date &	asofDate () const

const Currency &	currency () const

QuantLib::ext::shared_ptr< YieldCurveCalibrationInfo >	calibrationInfo () const

Detailed Description

Wrapper class for building yield term structures.

Given yield curve specification and its configuration this class will actually build a QuantLib yield termstructure.

Constructor & Destructor Documentation

YieldCurve	(	Date	asof,
		YieldCurveSpec	curveSpec,
		const CurveConfigurations &	curveConfigs,
		const Loader &	loader,
		const map< string, QuantLib::ext::shared_ptr< YieldCurve >> &	requiredYieldCurves = `map< string, QuantLib::ext::shared_ptr< YieldCurve >>()`,
		const map< string, QuantLib::ext::shared_ptr< DefaultCurve >> &	requiredDefaultCurves = `map< string, QuantLib::ext::shared_ptr< DefaultCurve >>()`,
		const FXTriangulation &	fxTriangulation = `FXTriangulation()`,
		const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceData = `nullptr`,
		const IborFallbackConfig &	iborfallbackConfig = `IborFallbackConfig::defaultConfig()`,
		const bool	preserveQuoteLinkage = `false`,
		const bool	buildCalibrationInfo = `true`,
		const Market *	market = `nullptr`
	)

Constructor.

Parameters

asof	Valuation date
curveSpec	Yield curve specification
curveConfigs	Repository of yield curve configurations
loader	Market data loader
requiredYieldCurves	Map of underlying yield curves if required
requiredDefaultCurves	Map of underlying default curves if required
fxTriangulation	FxTriangultion to get FX rate from cross if needed
referenceData	optional pointer to reference data, needed to build fitted bond curves
iborfallbackConfig	ibor fallback config
preserveQuoteLinkage	if true keep qloader quotes linked to yield ts, otherwise detach them
buildCalibrationInfo	build calibration info
market	market object to look up external discount curves