Class PiecewiseLogMixedLinearCubicSpreadDiscount

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

A spread discount curve over a base curve, bootstrapped iteratively on log-mixed-linear-cubic interpolation of its spread discount factors: QuantLib-Python's PiecewiseLogMixedLinearCubicSpreadDiscount.

public sealed class PiecewiseLogMixedLinearCubicSpreadDiscount : PiecewiseSpreadYieldCurve<LogMixedLinearCubic, IterativeBootstrap>, IInterpolatedCurve<Discount, LogMixedLinearCubic>

Inheritance

object

Extrapolator

TermStructure

YieldTermStructure

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, IterativeBootstrap>

PiecewiseSpreadYieldCurve<LogMixedLinearCubic, IterativeBootstrap>

PiecewiseLogMixedLinearCubicSpreadDiscount

Implements

IInterpolatedCurve<Discount, LogMixedLinearCubic>

Inherited Members

PiecewiseSpreadYieldCurve<LogMixedLinearCubic, IterativeBootstrap>.BaseCurve

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

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, IterativeBootstrap>.Times()

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, IterativeBootstrap>.Dates()

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, IterativeBootstrap>.Data()

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, IterativeBootstrap>.Nodes()

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, IterativeBootstrap>.Interpolator

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, IterativeBootstrap>.Bootstrap

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, IterativeBootstrap>.MaxDate

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, IterativeBootstrap>.MaxTime

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, IterativeBootstrap>.DayCounter

PiecewiseYieldCurve<Discount, LogMixedLinearCubic, 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 PiecewiseSpreadYieldCurve<TInterpolator, TBootstrap> on LogMixedLinearCubic and IterativeBootstrap: it adds constructors only. QuantLib's LogMixedLinearCubic has no default construction: a curve built without an interpolator refuses its zero value with InvalidOperationException, as the generic's does.

Constructors

PiecewiseLogMixedLinearCubicSpreadDiscount(YieldTermStructure, IEnumerable<BootstrapHelper<YieldTermStructure>>, EvaluationContext, LogMixedLinearCubic, IterativeBootstrap)

Initializes a new instance of the PiecewiseLogMixedLinearCubicSpreadDiscount class, and bootstraps it.

public PiecewiseLogMixedLinearCubicSpreadDiscount(YieldTermStructure baseCurve, IEnumerable<BootstrapHelper<YieldTermStructure>> instruments, EvaluationContext context, LogMixedLinearCubic i = default, IterativeBootstrap bootstrap = default)

Parameters

baseCurve YieldTermStructure

The base curve the spread is bootstrapped over.

instruments IEnumerable<BootstrapHelper<YieldTermStructure>>

The helpers the curve is bootstrapped on.

context EvaluationContext

The evaluation context the helpers are dated and priced in.

i LogMixedLinearCubic

The interpolator.

bootstrap IterativeBootstrap

The bootstrap.

Exceptions

ArgumentNullException

baseCurve, instruments or context is null.

ArgumentException

A helper is null.

NanoQLException

The bootstrap fails.

InvalidOperationException

The interpolator is its zero value.