ModelImpliedYieldTermStructure Class Reference

IR Implied Yield Term Structure. More...

#include <qle/models/modelimpliedyieldtermstructure.hpp>

Inheritance diagram for ModelImpliedYieldTermStructure:

Public Member Functions
	ModelImpliedYieldTermStructure (const QuantLib::ext::shared_ptr< IrModel > &model, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false)
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
virtual void	referenceDate (const Date &d)
virtual void	referenceTime (const Time t)
void	state (const Array &s)
void	move (const Date &d, const Array &s)
void	move (const Time t, const Array &s)
virtual void	update () override

Protected Member Functions
Real	discountImpl (Time t) const override

Protected Attributes
const QuantLib::ext::shared_ptr< IrModel >	model_
const bool	purelyTimeBased_
Date	referenceDate_
Real	relativeTime_
Array	state_

Detailed Description

IR Implied Yield Term Structure.

The termstructure has the reference date of the model's termstructure at construction, but you can vary this as well as the state. The purely time based variant is mainly there for perfomance reasons, note that it does not provide the full term structure interface and does not send notifications on reference time updates.

\ingroup models