Class InterpolatedForwardCurve<TInterpolator>

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

A yield term structure based on the interpolation of instantaneous forward rates.

public class InterpolatedForwardCurve<TInterpolator> : ZeroYieldStructure, IInterpolatedCurve<ForwardRate, TInterpolator> where TInterpolator : struct, IInterpolator

Type Parameters

TInterpolator

The interpolator, whose interpolation must have a primitive.

Inheritance

object

Extrapolator

TermStructure

YieldTermStructure

ZeroYieldStructure

InterpolatedForwardCurve<TInterpolator>

Implements

IInterpolatedCurve<ForwardRate, TInterpolator>

Derived

CubicForwardCurve

ForwardCurve

ForwardFlatForwardCurve

LinearForwardCurve

Inherited Members

ZeroYieldStructure.DiscountImpl(double)

YieldTermStructure.Discount(Date, bool)

YieldTermStructure.Discount(double, bool)

YieldTermStructure.ZeroRate(Date, DayCounter, Compounding, Frequency, bool)

YieldTermStructure.ZeroRate(double, Compounding, Frequency, bool)

YieldTermStructure.ForwardRate(Date, Date, DayCounter, Compounding, Frequency, bool)

YieldTermStructure.ForwardRate(Date, Period, DayCounter, Compounding, Frequency, bool)

YieldTermStructure.ForwardRate(double, double, Compounding, Frequency, bool)

YieldTermStructure.JumpDates()

YieldTermStructure.JumpTimes()

TermStructure.TimeFromReference(Date)

TermStructure.CheckRange(Date, bool)

TermStructure.CheckRange(double, bool)

TermStructure.ReferenceDate

TermStructure.DayCounter

TermStructure.Calendar

TermStructure.SettlementDays

TermStructure.MaxTime

Extrapolator.AllowsExtrapolation

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

ExtrapolatorExtensions.DisableExtrapolation<T>(T, bool)

ExtrapolatorExtensions.EnableExtrapolation<T>(T, bool)

Remarks

The zero rate at a time is the integral of the interpolated forward rates up to it, divided by the time; past the last node the curve extrapolates with the last forward rate. Its formula and maximum date are the ForwardRate traits', which a PiecewiseYieldCurve<TTraits, TInterpolator, TBootstrap> on those traits shares. Unsealed for its named classes, which add constructors only. QuantLib's protected constructors, through which its piecewise curve derives, aren't ported: no class derives through them here.

Constructors

InterpolatedForwardCurve(IEnumerable<Date>, IEnumerable<double>, DayCounter, Calendar?, IEnumerable<double>?, IEnumerable<Date>?, TInterpolator)

Initializes a new instance of the InterpolatedForwardCurve<TInterpolator> class from its nodes; the first date is the reference date.

public InterpolatedForwardCurve(IEnumerable<Date> dates, IEnumerable<double> forwards, DayCounter dayCounter, Calendar? calendar = null, IEnumerable<double>? jumps = null, IEnumerable<Date>? jumpDates = null, TInterpolator interpolator = default)

Parameters

dates IEnumerable<Date>

The nodes' dates, sorted.

forwards IEnumerable<double>

The instantaneous forward rates at the nodes.

dayCounter DayCounter

The day counter.

calendar Calendar

The calendar, or null, QuantLib's empty calendar.

jumps IEnumerable<double>

The discount-factor jumps, or null for none.

jumpDates IEnumerable<Date>

The jumps' dates, or null for 31 December of successive years.

interpolator TInterpolator

The interpolator.

Exceptions

ArgumentNullException

dates, forwards or dayCounter is null.

ArgumentException

There are fewer dates than the interpolation needs, the counts of dates and forwards differ, the dates aren't sorted or two of them give the same time, the jumps and their dates differ in number, or the interpolation refuses the nodes.

NanoQLException

The interpolation refuses the nodes.

Properties

MaxDate

Gets the latest date for which the curve can return values.

public override sealed Date MaxDate { get; }

Property Value

Date

Methods

Data()

The curve's data at its nodes, as its traits read them (discount factors, rates).

public ImmutableArray<double> Data()

Returns

ImmutableArray<double>

The data.

Dates()

The dates of the curve's nodes.

public ImmutableArray<Date> Dates()

Returns

ImmutableArray<Date>

The dates.

Forwards()

The instantaneous forward rates at the curve's nodes, its data.

public ImmutableArray<double> Forwards()

Returns

ImmutableArray<double>

The forward rates.

Nodes()

The curve's nodes: each date with the data at it.

public ImmutableArray<KeyValuePair<Date, double>> Nodes()

Returns

ImmutableArray<KeyValuePair<Date, double>>

The nodes.

Times()

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

public ImmutableArray<double> Times()

Returns

ImmutableArray<double>

The times.

ZeroYieldImpl(double)

The zero yield at a time, continuously compounded. Range checks have already been performed, so it must assume that extrapolation is required.

protected override sealed double ZeroYieldImpl(double t)

Parameters

t double

The time.

Returns

double

The zero yield.