SpreadedDiscountCurve Class Reference

#include <qle/termstructures/spreadeddiscountcurve.hpp>

Inheritance diagram for SpreadedDiscountCurve:

Public Types
enum class	Interpolation { logLinear , linearZero }
enum class	Extrapolation { flatFwd , flatZero }

Public Member Functions
	SpreadedDiscountCurve (const Handle< YieldTermStructure > &referenceCurve, const std::vector< Time > &times, const std::vector< Handle< Quote >> &quotes, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	times should be consistent with reference ts day counter
Date	maxDate () const override
void	update () override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override

Protected Member Functions
void	performCalculations () const override
DiscountFactor	discountImpl (Time t) const override

Detailed Description

Curve taking a reference curve and discount factor quotes, that are used to overlay the reference curve with a spread. The quotes are interpolated loglinearly. The spread curve is given in terms of times relative to the reference date, which means that the spread will float with a changing reference date in the reference curve.