Reference manual - version qle_version
Adapter class for turning a PriceTermStructure in to a YieldTermStructure. More...
#include <qle/termstructures/pricetermstructureadapter.hpp>
Inheritance diagram for PriceTermStructureAdapter:Public Member Functions | |
| PriceTermStructureAdapter (const boost::shared_ptr< PriceTermStructure > &priceCurve, const boost::shared_ptr< QuantLib::YieldTermStructure > &discount, QuantLib::Natural spotDays=0, const QuantLib::Calendar &spotCalendar=QuantLib::NullCalendar()) | |
| PriceTermStructureAdapter (const boost::shared_ptr< PriceTermStructure > &priceCurve, const boost::shared_ptr< QuantLib::YieldTermStructure > &discount, const QuantLib::Handle< QuantLib::Quote > &spotQuote) | |
TermStructure interface | |
| QuantLib::Date | maxDate () const override |
| const QuantLib::Date & | referenceDate () const override |
| QuantLib::DayCounter | dayCounter () const override |
Inspectors | |
| const boost::shared_ptr< PriceTermStructure > & | priceCurve () const |
| const boost::shared_ptr< QuantLib::YieldTermStructure > & | discount () const |
| QuantLib::Natural | spotDays () const |
| const QuantLib::Calendar & | spotCalendar () const |
YieldTermStructure interface | |
| QuantLib::DiscountFactor | discountImpl (QuantLib::Time t) const override |
Adapter class for turning a PriceTermStructure in to a YieldTermStructure.
This class takes a price term structure and an input yield curve and constructs a yield curve such that the discount factor \( P_p(0, t) \) at time \( t \) is given by:
\[ P_p(0, t) = \exp(-s(t) t) \]
where \( s(t) \) is defined by:
\[ \Pi(0, t) = S(0) \exp((z(t) - s(t)) t) \]
Here, \( \Pi(0, t) \) is the forward price of the underlying from the input price curve, \( S(0) \) is its spot price and \( z(t) \) is the continuously compounded zero rate from the input yield curve. The spot price is determined from the price curve at time 0 by default. There are optional parameters that allow using a price at a time other than 0 for the spot price.
