InterpolatedPillarOnlyDiscountCurve< Interpolator > Class Template Reference

Discount curve interpolating on pillar dates only, excluding synthetic t=0. More...

#include <qle/termstructures/pillaronlyyieldcurve.hpp>

Inheritance diagram for InterpolatedPillarOnlyDiscountCurve< Interpolator >:

Public Member Functions
Constructors
	InterpolatedPillarOnlyDiscountCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< DiscountFactor > &discounts, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator())
YieldTermStructure interface
Date	maxDate () const override

YieldTermStructure implementation
DiscountFactor	discountImpl (Time t) const override

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedPillarOnlyDiscountCurve< Interpolator >

Discount curve interpolating on pillar dates only, excluding synthetic t=0.

This curve interpolates discount factors on actual market pillar dates only, excluding the synthetic time-zero point. This is useful when the first market pillar does not coincide with the as-of date and you want to avoid including a synthetic discount factor point in the interpolation.

Key features:

• At t=0: Returns DF(0) = 1.0 by definition
• Left extrapolation (0 < t < t₁): Flat forward rate from first pillar ensuring continuity
• Interpolation (t₁ ≤ t ≤ tₙ): Uses provided interpolator on pillar discount factors
• Right extrapolation (t > tₙ): Flat instantaneous forward rate from last pillar