Reference manual - version ored_version
Wrapper class for building yield term structures. More...
#include <ored/marketdata/yieldcurve.hpp>
Public Types | |
| enum class | InterpolationVariable { Zero , Discount , Forward } |
| Supported interpolation variables. | |
| enum class | InterpolationMethod { Linear , LogLinear , NaturalCubic , FinancialCubic , ConvexMonotone , Quadratic , LogQuadratic , LogNaturalCubic , LogFinancialCubic , LogCubicSpline , MonotonicLogCubicSpline , Hermite , CubicSpline , DefaultLogMixedLinearCubic , MonotonicLogMixedLinearCubic , KrugerLogMixedLinearCubic , LogMixedLinearCubicNaturalSpline , BackwardFlat , ExponentialSplines , NelsonSiegel , Svensson } |
| Supported interpolation methods. | |
Public Member Functions | |
| YieldCurve (Date asof, const std::vector< QuantLib::ext::shared_ptr< YieldCurveSpec > > &curveSpec, const CurveConfigurations &curveConfigs, const Loader &loader, const map< string, QuantLib::ext::shared_ptr< YieldCurve > > &requiredYieldCurves=map< string, QuantLib::ext::shared_ptr< YieldCurve > >(), const map< string, QuantLib::ext::shared_ptr< DefaultCurve > > &requiredDefaultCurves=map< string, QuantLib::ext::shared_ptr< DefaultCurve > >(), const FXTriangulation &fxTriangulation=FXTriangulation(), const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), const bool preserveQuoteLinkage=false, const bool buildCalibrationInfo=true, const Market *market=nullptr) | |
| Constructor. | |
Inspectors | |
| const Date & | asofDate () const |
| const std::vector< Currency > & | currencies () const |
| const std::vector< QuantLib::ext::shared_ptr< YieldCurveSpec > > & | curveSpecs () const |
| const Handle< YieldTermStructure > & | handle (const std::string &specName=std::string()) const |
| QuantLib::ext::shared_ptr< YieldCurveCalibrationInfo > | calibrationInfo (const std::string &specName=std::string()) const |
Wrapper class for building yield term structures.
Given yield curve specification and its configuration this class will actually build a QuantLib yield termstructure.
| YieldCurve | ( | Date | asof, |
| const std::vector< QuantLib::ext::shared_ptr< YieldCurveSpec > > & | curveSpec, | ||
| const CurveConfigurations & | curveConfigs, | ||
| const Loader & | loader, | ||
| const map< string, QuantLib::ext::shared_ptr< YieldCurve > > & | requiredYieldCurves = map< string, QuantLib::ext::shared_ptr< YieldCurve > >(), | ||
| const map< string, QuantLib::ext::shared_ptr< DefaultCurve > > & | requiredDefaultCurves = map< string, QuantLib::ext::shared_ptr< DefaultCurve > >(), | ||
| const FXTriangulation & | fxTriangulation = FXTriangulation(), | ||
| const QuantLib::ext::shared_ptr< ReferenceDataManager > & | referenceData = nullptr, | ||
| const QuantLib::ext::shared_ptr< IborFallbackConfig > & | iborFallbackConfig = QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), | ||
| const bool | preserveQuoteLinkage = false, | ||
| const bool | buildCalibrationInfo = true, | ||
| const Market * | market = nullptr ) |
Constructor.
| asof | Valuation date |
| curveSpec | Yield curve specifications |
| curveConfigs | Repository of yield curve configurations |
| loader | Market data loader |
| requiredYieldCurves | Map of underlying yield curves if required |
| requiredDefaultCurves | Map of underlying default curves if required |
| fxTriangulation | FxTriangultion to get FX rate from cross if needed |
| referenceData | optional pointer to reference data, needed to build fitted bond curves |
| iborFallbackConfig | ibor fallback config |
| preserveQuoteLinkage | if true keep qloader quotes linked to yield ts, otherwise detach them |
| buildCalibrationInfo | build calibration info |
| market | market object to look up external discount curves |