- QuantLib
- PiecewiseZeroSpreadedTermStructure
Term structure with an added vector of spreads on the zero-yield rate. More...
#include <ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp>

Public Member Functions | |
| PiecewiseZeroSpreadedTermStructure (const Handle< YieldTermStructure > &, const std::vector< Handle< Quote > > &spreads, const std::vector< Date > &dates, Compounding comp=Continuous, Frequency freq=NoFrequency, const DayCounter &dc=DayCounter()) | |
YieldTermStructure interface | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Natural | settlementDays () const |
| the settlementDays used for reference date calculation | |
| Calendar | calendar () const |
| the calendar used for reference and/or option date calculation | |
| const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
Protected Member Functions | |
| Rate | zeroYieldImpl (Time) const |
| returns the spreaded zero yield rate | |
| void | update () |
Term structure with an added vector of spreads on the zero-yield rate.
The zero-yield spread at any given date is linearly interpolated between the input data.
| void update | ( | ) | [protected, virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from YieldTermStructure.