1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2008 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file impliedtermstructure.hpp
22 \brief Implied term structure
23*/
24
25#ifndef quantlib_implied_term_structure_hpp
26#define quantlib_implied_term_structure_hpp
27
28#include <ql/termstructures/yieldtermstructure.hpp>
29#include <utility>
30
31namespace QuantLib {
32
33 //! Implied term structure at a given date in the future
34 /*! The given date will be the implied reference date.
35
36 \note This term structure will remain linked to the original
37 structure, i.e., any changes in the latter will be
38 reflected in this structure as well.
39
40 \ingroup yieldtermstructures
41
42 \test
43 - the correctness of the returned values is tested by
44 checking them against numerical calculations.
45 - observability against changes in the underlying term
46 structure is checked.
47 */
48 class ImpliedTermStructure : public YieldTermStructure {
49 public:
50 ImpliedTermStructure(Handle<YieldTermStructure>, const Date& referenceDate);
51 //! \name YieldTermStructure interface
52 //@{
53 DayCounter dayCounter() const override;
54 Calendar calendar() const override;
55 Natural settlementDays() const override;
56 Date maxDate() const override;
57
58 protected:
59 DiscountFactor discountImpl(Time) const override;
60 //@}
61 private:
62 Handle<YieldTermStructure> originalCurve_;
63 };
64
65
66 // inline definitions
67
68 inline ImpliedTermStructure::ImpliedTermStructure(Handle<YieldTermStructure> h,
69 const Date& referenceDate)
70 : YieldTermStructure(referenceDate), originalCurve_(std::move(h)) {
71 registerWith(h: originalCurve_);
72 }
73
74 inline DayCounter ImpliedTermStructure::dayCounter() const {
75 return originalCurve_->dayCounter();
76 }
77
78 inline Calendar ImpliedTermStructure::calendar() const {
79 return originalCurve_->calendar();
80 }
81
82 inline Natural ImpliedTermStructure::settlementDays() const {
83 return originalCurve_->settlementDays();
84 }
85
86 inline Date ImpliedTermStructure::maxDate() const {
87 return originalCurve_->maxDate();
88 }
89
90 inline DiscountFactor ImpliedTermStructure::discountImpl(Time t) const {
91 /* t is relative to the current reference date
92 and needs to be converted to the time relative
93 to the reference date of the original curve */
94 Date ref = referenceDate();
95 Time originalTime = t + dayCounter().yearFraction(
96 d1: originalCurve_->referenceDate(), d2: ref);
97 /* discount at evaluation date cannot be cached
98 since the original curve could change between
99 invocations of this method */
100 return originalCurve_->discount(t: originalTime, extrapolate: true) /
101 originalCurve_->discount(d: ref, extrapolate: true);
102 }
103
104}
105
106
107#endif
108

source code of quantlib/ql/termstructures/yield/impliedtermstructure.hpp