SpreadedDiscountCurve Class Reference

#include <qle/termstructures/spreadeddiscountcurve.hpp>

Inheritance diagram for SpreadedDiscountCurve:

Public Types
enum class	Interpolation { logLinear , linearZero }
enum class	Extrapolation { flatFwd , flatZero }

Public Member Functions
	SpreadedDiscountCurve (const Handle< YieldTermStructure > &referenceCurve, const std::vector< Time > &times, const std::vector< Handle< Quote > > &quotes, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	times should be consistent with reference ts day counter
Date	maxDate () const override
void	update () override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
void	makeThisCurveSpreaded (const std::vector< Handle< YieldTermStructure > > &bases, const std::vector< double > &multiplier)

Protected Member Functions
void	performCalculations () const override
DiscountFactor	discountImpl (Time t) const override

Detailed Description

Curve taking a reference curve and discount factor quotes, that are used to overlay the reference curve with a spread. The quotes are interpolated loglinearly. The spread curve is given in terms of times relative to the reference date, which means that the spread will float with a changing reference date in the reference curve.