SpreadedPriceTermStructure Class Reference

Spreaded Price term structure. More...

#include <qle/termstructures/spreadedpricetermstructure.hpp>

Inheritance diagram for SpreadedPriceTermStructure:

Public Member Functions
	SpreadedPriceTermStructure (const QuantLib::Handle< PriceTermStructure > &referenceCurve, const std::vector< QuantLib::Real > &times, const std::vector< QuantLib::Handle< QuantLib::Quote > > &priceSpreads)
	times should be consistent with reference curve day counter
QuantLib::Date	maxDate () const override
void	update () override
const QuantLib::Date &	referenceDate () const override
QuantLib::Calendar	calendar () const override
QuantLib::Natural	settlementDays () const override
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values.
const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed.
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure.
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

Additional Inherited Members
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.

Detailed Description

Spreaded Price term structure.

Member Function Documentation

minTime()

QuantLib::Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from PriceTermStructure.

currency()

const QuantLib::Currency & currency ( ) const

overridevirtual

The currency in which prices are expressed.

Implements PriceTermStructure.

pillarDates()

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

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.