StaticallyCorrectedYieldTermStructure Class Reference

Statically Corrected Yield Term Structure. More...

#include <qle/termstructures/staticallycorrectedyieldtermstructure.hpp>

Inheritance diagram for StaticallyCorrectedYieldTermStructure:

Public Member Functions
	StaticallyCorrectedYieldTermStructure (const Handle< YieldTermStructure > &floatingTermStructure, const Handle< YieldTermStructure > &fixedSourceTermStructure, const Handle< YieldTermStructure > &fixedTargetTermStructure, const YieldCurveRollDown &rollDown=ForwardForward)
Date	maxDate () const override
void	update () override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
void	flushCache ()

Protected Member Functions
Real	discountImpl (Time t) const override

Detailed Description

Statically Corrected Yield Term Structure.

This termstructure takes a floating reference date term structure and two fixed reference date term structures, applying a static correction to the floating ts implied by the two fixed ones. Usually the floating term structure will coincide with the first fixed at construction time. Also, the two fixed termstructures should have the same reference date and all three termstructures should have the same day counter.