Class InterpolatedCurve<TInterpolator>

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

The data of an interpolated term structure: the times of its nodes, its data at them, their interpolation and the maximum date, which an interpolated curve holds and answers from.

public sealed class InterpolatedCurve<TInterpolator> where TInterpolator : struct, IInterpolator

Type Parameters

TInterpolator

The interpolator.

Inheritance

object

InterpolatedCurve<TInterpolator>

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

QuantLib's InterpolatedCurve is a protected base its curves inherit their data members from; nanoql's curves hold one instead, so no is-a relation is lost (QuantLib's inheritance is protected). Immutable: it copies its inputs and builds its interpolation once.

Properties

Interpolation

Gets the interpolation of the data: the interpolator's, or a bootstrap's linear interpolation where the interpolator couldn't be built over the curve's nodes.

public Interpolation Interpolation { get; }

Property Value

Interpolation

Interpolator

Gets the interpolator the curve was built with.

public TInterpolator Interpolator { get; }

Property Value

TInterpolator

MaxDate

Gets the latest date a bootstrap's helpers needed, which may be past the last node, or null for a curve that wasn't bootstrapped: QuantLib's maxDate_.

public Date? MaxDate { get; }

Property Value

Date?

Methods

Create(ReadOnlySpan<Date>, ReadOnlySpan<double>, Date, DayCounter, TInterpolator)

The data of a curve given its nodes' dates: the times from the reference date, checked as QuantLib's setupTimes checks them, and the interpolation built over them: QuantLib's setupInterpolation.

public static InterpolatedCurve<TInterpolator> Create(ReadOnlySpan<Date> dates, ReadOnlySpan<double> data, Date referenceDate, DayCounter dayCounter, TInterpolator interpolator = default)

Parameters

dates ReadOnlySpan<Date>

The nodes' dates, sorted, each with its own time under the day counter.

data ReadOnlySpan<double>

The data at the nodes, one per date.

referenceDate Date

The date the times are measured from.

dayCounter DayCounter

The day counter measuring the times.

interpolator TInterpolator

The interpolator.

Returns

InterpolatedCurve<TInterpolator>

The curve's data.

Exceptions

ArgumentNullException

dayCounter is null.

ArgumentException

No date is given, a date is default(Date), the dates aren't sorted, two of them give the same time, or the interpolation refuses the points.

NanoQLException

The interpolation refuses the points.

Data()

The curve's data at its nodes.

public ImmutableArray<double> Data()

Returns

ImmutableArray<double>

The data.

Times()

The times of the curve's nodes, from the reference date.

public ImmutableArray<double> Times()

Returns

ImmutableArray<double>

The times.