PiecewisePriceCurve< Interpolator, Bootstrap > Class Template Reference

Piecewise price term structure. More...

#include <qle/termstructures/piecewisepricecurve.hpp>

Inheritance diagram for PiecewisePriceCurve< Interpolator, Bootstrap >:

Public Types
typedef PiecewisePriceCurve< Interpolator, Bootstrap >	this_curve
typedef QuantLib::BootstrapHelper< PriceTermStructure >	helper
typedef PriceTraits	traits_type
typedef Interpolator	interpolator_type

Public Member Functions
Constructors
	PiecewisePriceCurve (const QuantLib::Date &referenceDate, const std::vector< boost::shared_ptr< helper > > &instruments, const QuantLib::DayCounter &dayCounter, const QuantLib::Currency &currency, const Interpolator &i=Interpolator(), const Bootstrap< this_curve > &bootstrap=Bootstrap< this_curve >())
TermStructure interface
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
PriceTermStructure interface
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values.
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure.
InterpolatedPriceCurve interface
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Real > &	prices () const
const boost::shared_ptr< helper > &	instrument (QuantLib::Size i) const
	Return the i-th instrument.
Public Member Functions inherited from InterpolatedPriceCurve< Interpolator >
	InterpolatedPriceCurve (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from periods and prices. No conventions are applied in getting to a date from a period.
	InterpolatedPriceCurve (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Handle< QuantLib::Quote > > &quotes, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from periods and quotes. No conventions are applied in getting to a date from a period.
	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from dates and prices.
	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Handle< QuantLib::Quote > > &quotes, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from dates and quotes.
void	update () override
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values.
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure.
const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed.
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Real > &	prices () const
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

PriceTermStructure implementation
class	Bootstrap< this_curve >
class	BootstrapError< this_curve >
class	PenaltyFunction< this_curve >

Additional Inherited Members
Protected Member Functions inherited from InterpolatedPriceCurve< Interpolator >
void	performCalculations () const override
QuantLib::Real	priceImpl (QuantLib::Time t) const override
	Price calculation.
	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Used by PiecewisePriceCurve.
Protected Member Functions inherited from PriceTermStructure
void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange.
Protected Attributes inherited from InterpolatedPriceCurve< Interpolator >
std::vector< QuantLib::Date >	dates_

Detailed Description

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap>
class QuantExt::PiecewisePriceCurve< Interpolator, Bootstrap >

Piecewise price term structure.

This term structure is bootstrapped on a number of instruments which are passed as a vector of handles to PriceHelper instances. Their maturities mark the boundaries of the interpolated segments.

Each segment is determined sequentially starting from the earliest period to the latest and is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve.

Warning:

The bootstrapping algorithm raises an exception if any two instruments have the same maturity date.