Class PiecewiseConvexMonotoneZero

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

A yield term structure bootstrapped on rate helpers, on convex-monotone interpolated zero rates.

public sealed class PiecewiseConvexMonotoneZero : PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>, IInterpolatedCurve<ZeroYield, ConvexMonotone>

Inheritance

object

Extrapolator

TermStructure

YieldTermStructure

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>

PiecewiseConvexMonotoneZero

Implements

IInterpolatedCurve<ZeroYield, ConvexMonotone>

Inherited Members

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.Create(int, Calendar, IEnumerable<BootstrapHelper<YieldTermStructure>>, DayCounter, EvaluationContext, IEnumerable<double>, IEnumerable<Date>, ConvexMonotone, IterativeBootstrap)

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.Times()

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.Dates()

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.Data()

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.Nodes()

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.Interpolator

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.Bootstrap

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.MaxDate

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.MaxTime

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.DayCounter

PiecewiseYieldCurve<ZeroYield, ConvexMonotone, IterativeBootstrap>.AdditionalVariables

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.ReferenceDate

TermStructure.DayCounter

TermStructure.Calendar

TermStructure.SettlementDays

TermStructure.MaxDate

TermStructure.MaxTime

Extrapolator.AllowsExtrapolation

object.GetType()

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

QuantLib-Python's %template name for PiecewiseYieldCurve<TTraits, TInterpolator, TBootstrap> on ZeroYield, ConvexMonotone and IterativeBootstrap: it adds constructors only.

Constructors

PiecewiseConvexMonotoneZero(Date, IEnumerable<BootstrapHelper<YieldTermStructure>>, DayCounter, EvaluationContext, IEnumerable<double>?, IEnumerable<Date>?, ConvexMonotone, IterativeBootstrap)

Initializes a new instance of the PiecewiseConvexMonotoneZero class with a fixed reference date, and bootstraps it.

public PiecewiseConvexMonotoneZero(Date referenceDate, IEnumerable<BootstrapHelper<YieldTermStructure>> instruments, DayCounter dayCounter, EvaluationContext context, IEnumerable<double>? jumps = null, IEnumerable<Date>? jumpDates = null, ConvexMonotone i = default, IterativeBootstrap bootstrap = default)

Parameters

referenceDate Date

The reference date.

instruments IEnumerable<BootstrapHelper<YieldTermStructure>>

The helpers the curve is bootstrapped on.

dayCounter DayCounter

The day counter.

context EvaluationContext

The evaluation context the helpers are dated and priced in.

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.

i ConvexMonotone

The interpolator.

bootstrap IterativeBootstrap

The bootstrap.

Exceptions

ArgumentNullException

context, instruments or dayCounter is null.

ArgumentException

A helper is null, the reference date is default(Date), or the jumps and their dates differ in number.

NanoQLException

The bootstrap fails.

Methods

Create(int, Calendar, IEnumerable<BootstrapHelper<YieldTermStructure>>, DayCounter, EvaluationContext, IEnumerable<double>?, IEnumerable<Date>?, ConvexMonotone, IterativeBootstrap)

A curve with a reference date that is the evaluation date advanced by settlement days on a calendar: QuantLib's constructors taking settlement days, whose reference date moves with the evaluation date. The curve is built for the context's evaluation date.

public static PiecewiseConvexMonotoneZero Create(int settlementDays, Calendar calendar, IEnumerable<BootstrapHelper<YieldTermStructure>> instruments, DayCounter dayCounter, EvaluationContext context, IEnumerable<double>? jumps = null, IEnumerable<Date>? jumpDates = null, ConvexMonotone i = default, IterativeBootstrap bootstrap = default)

Parameters

settlementDays int

The settlement days.

calendar Calendar

The calendar the settlement days are counted on.

instruments IEnumerable<BootstrapHelper<YieldTermStructure>>

The helpers the curve is bootstrapped on.

dayCounter DayCounter

The day counter.

context EvaluationContext

The evaluation context.

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.

i ConvexMonotone

The interpolator.

bootstrap IterativeBootstrap

The bootstrap.

Returns

PiecewiseConvexMonotoneZero

The bootstrapped curve.

Exceptions

ArgumentNullException

context, calendar, instruments or dayCounter is null.

ArgumentOutOfRangeException

settlementDays is negative.

ArgumentException

A helper is null, or the jumps and their dates differ in number.

NanoQLException

The bootstrap fails.