PiecewiseZeroSpreadedTermStructure Class Reference
[Term structures]
#include <ql/termstructures/yieldcurves/piecewisezerospreadedtermstructure.hpp>
Inheritance diagram for PiecewiseZeroSpreadedTermStructure:

Detailed Description
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.
- Note:
- This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.
Public Member Functions | |
PiecewiseZeroSpreadedTermStructure (const Handle< YieldTermStructure > &, const std::vector< Handle< Quote > > &spreads, const std::vector< Date > &dates) | |
YieldTermStructure interface | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Calendar | calendar () const |
the calendar used for reference 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 () |
Member Function Documentation
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 TermStructure.