COM Implied Price Term Structure. More...

#include <qle/models/modelimpliedpricetermstructure.hpp>

Inheritance diagram for ModelImpliedPriceTermStructure:

Public Member Functions
	ModelImpliedPriceTermStructure (const boost::shared_ptr< CommodityModel > &model, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false)

Date	maxDate () const override

Time	maxTime () const override

const Date &	referenceDate () const override

const QuantLib::Currency &	currency () const override
	Price term structure interface.

std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure.

virtual void	referenceDate (const Date &d)

virtual void	referenceTime (const Time t)

void	state (const Array &s)

void	move (const Date &d, const Array &s)

void	move (const Time t, const Array &s)

virtual void	update () override

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

virtual QuantLib::Time	minTime () const
	The minimum time for which the curve can return values.

Protected Member Functions
Real	priceImpl (Time t) const override

Protected Member Functions inherited from PriceTermStructure
virtual QuantLib::Real	priceImpl (QuantLib::Time) const =0
	Price calculation.

void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange.

Protected Attributes
const boost::shared_ptr< CommodityModel >	model_

const bool	purelyTimeBased_

Date	referenceDate_

Real	relativeTime_

Array	state_

Detailed Description

COM Implied Price Term Structure.

The termstructure has the reference date of the model's termstructure at construction, but you can vary this as well as the state. The purely time based variant is mainly there for perfomance reasons, note that it does not provide the full term structure interface and does not send notifications on reference time updates.

\ingroup models

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description