WeightedYieldTermStructure Class Reference

weighted yield term structure More...

#include <qle/termstructures/weightedyieldtermstructure.hpp>

Inheritance diagram for WeightedYieldTermStructure:

Public Member Functions
	WeightedYieldTermStructure (const Handle< YieldTermStructure > &yts1, const Handle< YieldTermStructure > &yts2, const Real w1, const Real w2)
Date	maxDate () const override
const Date &	referenceDate () const override

Protected Member Functions
Real	discountImpl (Time t) const override

Protected Attributes
const Handle< YieldTermStructure >	yts1_
const Handle< YieldTermStructure >	yts2_
const Real	w1_
const Real	w2_

Detailed Description

weighted yield term structure

this yield term structure is defined by discount factors given by a weighted geometric average of discount factors of underlying curves; this corresponds to a weighted arithmetic average of instantaneous forward rates and can be used to interpolate e.g. a Euribor2M curve between Euribor1M and Euribor3M (using w1=w2=0.5)