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) 2003, 2004 StatPro Italia srl
6 Copyright (C) 2009 Ferdinando Ametrano
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file zeroyieldstructure.hpp
23 \brief Zero-yield based term structure
24*/
25
26#ifndef quantlib_zero_yield_structure_hpp
27#define quantlib_zero_yield_structure_hpp
28
29#include <ql/termstructures/yieldtermstructure.hpp>
30
31namespace QuantLib {
32
33 //! Zero-yield term structure
34 /*! This abstract class acts as an adapter to YieldTermStructure
35 allowing the programmer to implement only the
36 <tt>zeroYieldImpl(Time)</tt> method in derived classes.
37
38 Discount and forward are calculated from zero yields.
39
40 Zero rates are assumed to be annual continuous compounding.
41
42 \ingroup yieldtermstructures
43 */
44 class ZeroYieldStructure : public YieldTermStructure {
45 public:
46 /*! \name Constructors
47 See the TermStructure documentation for issues regarding
48 constructors.
49 */
50 //@{
51 explicit ZeroYieldStructure(
52 const DayCounter& dc = DayCounter());
53 explicit ZeroYieldStructure(
54 const Date& referenceDate,
55 const Calendar& calendar = Calendar(),
56 const DayCounter& dc = DayCounter(),
57 const std::vector<Handle<Quote> >& jumps = {},
58 const std::vector<Date>& jumpDates = {});
59 ZeroYieldStructure(
60 Natural settlementDays,
61 const Calendar& calendar,
62 const DayCounter& dc = DayCounter(),
63 const std::vector<Handle<Quote> >& jumps = {},
64 const std::vector<Date>& jumpDates = {});
65 //@}
66 protected:
67 /*! \name Calculations
68
69 This method must be implemented in derived classes to
70 perform the actual calculations. When it is called,
71 range check has already been performed; therefore, it
72 must assume that extrapolation is required.
73 */
74 //@{
75 //! zero-yield calculation
76 virtual Rate zeroYieldImpl(Time) const = 0;
77 //@}
78
79 //! \name YieldTermStructure implementation
80 //@{
81 /*! Returns the discount factor for the given date calculating it
82 from the zero yield.
83 */
84 DiscountFactor discountImpl(Time) const override;
85 //@}
86 };
87
88 // inline definitions
89
90 inline DiscountFactor ZeroYieldStructure::discountImpl(Time t) const {
91 if (t == 0.0) // this acts as a safe guard in cases where
92 return 1.0; // zeroYieldImpl(0.0) would throw.
93
94 Rate r = zeroYieldImpl(t);
95 return DiscountFactor(std::exp(x: -r*t));
96 }
97
98}
99
100#endif
101

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