Discount curve fitted to a set of fixed-coupon bonds. More...
#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp>
Classes | |
class | FittingMethod |
Base fitting method used to construct a fitted bond discount curve. More... | |
Public Member Functions | |
Constructors | |
FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< BondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0, Size maxStationaryStateIterations=100) | |
reference date based on current evaluation date | |
FittedBondDiscountCurve (const Date &referenceDate, const std::vector< boost::shared_ptr< BondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0, Size maxStationaryStateIterations=100) | |
curve reference date fixed for life of curve | |
Inspectors | |
Size | numberOfBonds () const |
total number of bonds used to fit the yield curve | |
Date | maxDate () const |
the latest date for which the curve can return values | |
const FittingMethod & | fitResults () const |
class holding the results of the fit | |
Observer interface | |
void | update () |
![]() | |
YieldTermStructure (const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
DiscountFactor | discount (const Date &d, bool extrapolate=false) const |
DiscountFactor | discount (Time t, bool extrapolate=false) const |
InterestRate | zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
const std::vector< Date > & | jumpDates () const |
const std::vector< Time > & | jumpTimes () const |
void | update () |
![]() | |
TermStructure (const DayCounter &dc=DayCounter()) | |
default constructor More... | |
TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
virtual DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Time | timeFromReference (const Date &date) const |
date/time conversion | |
virtual Time | maxTime () const |
the latest time for which the curve can return values | |
virtual const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
virtual Calendar | calendar () const |
the calendar used for reference and/or option date calculation | |
virtual Natural | settlementDays () const |
the settlementDays used for reference date calculation | |
![]() | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
void | enableExtrapolation (bool b=true) |
enable extrapolation in subsequent calls | |
void | disableExtrapolation (bool b=true) |
disable extrapolation in subsequent calls | |
bool | allowsExtrapolation () const |
tells whether extrapolation is enabled | |
![]() | |
void | recalculate () |
void | freeze () |
void | unfreeze () |
Friends | |
class | FittingMethod |
Additional Inherited Members | |
![]() | |
typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Calculations | |
This method must be implemented in derived classes to perform the actual calculations. When it is called, range check has already been performed; therefore, it must assume that extrapolation is required. | |
![]() | |
void | checkRange (const Date &d, bool extrapolate) const |
date-range check | |
void | checkRange (Time t, bool extrapolate) const |
time-range check | |
![]() | |
virtual void | calculate () const |
![]() | |
bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
![]() | |
bool | calculated_ |
bool | frozen_ |
Discount curve fitted to a set of fixed-coupon bonds.
This class fits a discount function \( d(t) \) over a set of bonds, using a user defined fitting method. The discount function is fit in such a way so that all cashflows of all input bonds, when discounted using \( d(t) \), will reproduce the set of input bond prices in an optimized sense. Minimized price errors are weighted by the inverse of their respective bond duration.
The FittedBondDiscountCurve class acts as a generic wrapper, while its inner class FittingMethod provides the implementation details. Developers thus need only derive new fitting methods from the latter.
Example: compares various bond discount curve fitting methodologies
|
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 LazyObject.