YieldPlusDefaultYieldTermStructure Class Reference

yield plus default yield term structure More...

#include <qle/termstructures/yieldplusdefaultyieldtermstructure.hpp>

Inheritance diagram for YieldPlusDefaultYieldTermStructure:

Public Member Functions
	YieldPlusDefaultYieldTermStructure (const Handle< YieldTermStructure > &yts, const std::vector< Handle< DefaultProbabilityTermStructure > > &df, const std::vector< Handle< Quote > > &rr, const std::vector< Real > &weights)
Date	maxDate () const override
const Date &	referenceDate () const override

Protected Member Functions
Real	discountImpl (Time t) const override

Protected Attributes
const Handle< YieldTermStructure >	yts_
const std::vector< Handle< DefaultProbabilityTermStructure > >	df_
const std::vector< Handle< Quote > >	rr_
const std::vector< Real >	weights_

Detailed Description

yield plus default yield term structure

this yield term structure is defined by discount factors given by a weighted sum of survival probabilities of underlying default curves plus the discount factor of a reference yield curve