BondYieldShiftedCurveTermStructure Class Reference

#include <qle/termstructures/bondyieldshiftedcurvetermstructure.hpp>

Inheritance diagram for BondYieldShiftedCurveTermStructure:

Public Member Functions
	BondYieldShiftedCurveTermStructure (const QuantLib::Handle< YieldTermStructure > &originalCurve, const Real &bondSpread, const Real &duration)
	BondYieldShiftedCurveTermStructure (const QuantLib::Handle< YieldTermStructure > &originalCurve, const std::vector< Real > &bondYields, const std::vector< Real > &bondDurations)

BondYieldShiftedCurveTermStructure interface
DayCounter	dayCounter () const override
Calendar	calendar () const override
Natural	settlementDays () const override
const Date &	referenceDate () const override
Date	maxDate () const override
Real	bondSpread () const
Real	duration () const
DiscountFactor	discountImpl (Time) const override

Detailed Description

The given date will be the implied reference date.

Note

This term structure will be linked to the original curve and the bond spread, i.e., any changes in the latter will be reflected in this structure as well.