InterpolatedPriceCurve< Interpolator > Class Template Reference

Interpolated price curve. More...

#include <qle/termstructures/pricecurve.hpp>

Inheritance diagram for InterpolatedPriceCurve< Interpolator >:

Public Member Functions
Constructors
	InterpolatedPriceCurve (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from periods and prices. No conventions are applied in getting to a date from a period.
	InterpolatedPriceCurve (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Handle< QuantLib::Quote > > &quotes, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from periods and quotes. No conventions are applied in getting to a date from a period.
	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from dates and prices.
	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Handle< QuantLib::Quote > > &quotes, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Curve constructed from dates and quotes.
Observer interface
void	update () override
TermStructure interface
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
PriceTermStructure interface
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values.
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure.
const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed.
Public Member Functions inherited from PriceTermStructure
	PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
QuantLib::Real	price (QuantLib::Time t, bool extrapolate=false) const
QuantLib::Real	price (const QuantLib::Date &d, bool extrapolate=false) const
void	update () override

Protected Member Functions
LazyObject interface
void	performCalculations () const override
Protected Member Functions inherited from PriceTermStructure
void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange.

PriceTermStructure implementation
std::vector< QuantLib::Date >	dates_
QuantLib::Real	priceImpl (QuantLib::Time t) const override
	Price calculation.

Inspectors
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Real > &	prices () const
	InterpolatedPriceCurve (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dc, const QuantLib::Currency &currency, const Interpolator &interpolator=Interpolator())
	Used by PiecewisePriceCurve.

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedPriceCurve< Interpolator >

Interpolated price curve.

Class representing a curve of projected prices in the future.

Warning

for consistency, if curve is constructed by inferring times from dates using a given day counter, pass the same day counter to the constructor

Member Function Documentation

minTime()

template<class Interpolator>

QuantLib::Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from PriceTermStructure.

Reimplemented in PiecewisePriceCurve< Interpolator, Bootstrap >, PiecewisePriceCurve< Interpolator, Bootstrap >, and PiecewisePriceCurve< Interpolator, IterativeBootstrap >.

pillarDates()

template<class Interpolator>

std::vector< QuantLib::Date > pillarDates ( ) const

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.

Reimplemented in PiecewisePriceCurve< Interpolator, Bootstrap >, PiecewisePriceCurve< Interpolator, Bootstrap >, and PiecewisePriceCurve< Interpolator, IterativeBootstrap >.

currency()

template<class Interpolator>

const QuantLib::Currency & currency ( ) const

overridevirtual

The currency in which prices are expressed.

Implements PriceTermStructure.

priceImpl()

template<class Interpolator>

QuantLib::Real priceImpl ( QuantLib::Time ) const

overrideprotectedvirtual

Price calculation.

Implements PriceTermStructure.