Price term structure. More...

#include <qle/termstructures/pricetermstructure.hpp>

Inheritance diagram for PriceTermStructure:

Public Member Functions
Constructors
	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())
Prices
QuantLib::Real	price (QuantLib::Time t, bool extrapolate=false) const
QuantLib::Real	price (const QuantLib::Date &d, bool extrapolate=false) const
Observer interface
void	update () override
virtual QuantLib::Time	minTime () const
	The minimum time for which the curve can return values.
virtual const QuantLib::Currency &	currency () const =0
	The currency in which prices are expressed.
virtual std::vector< QuantLib::Date >	pillarDates () const =0
	The pillar dates for the PriceTermStructure.

Protected Member Functions
Calculations
This method must be implemented in derived classes to perform the actual calculations.
virtual QuantLib::Real	priceImpl (QuantLib::Time) const =0
	Price calculation.
void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange.

Detailed Description

Price term structure.

This abstract class defines the interface of concrete price term structures which will be derived from this one.

Member Function Documentation

virtual QuantLib::Time minTime ( ) const

virtual

The minimum time for which the curve can return values.

virtual const QuantLib::Currency & currency ( ) const

pure virtual

The currency in which prices are expressed.

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

pure virtual

The pillar dates for the PriceTermStructure.

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

protectedpure virtual

Price calculation.