Class PiecewiseSpreadYieldCurve<TInterpolator, TBootstrap>
- Namespace
- NanoQL.TermStructures
- Assembly
- NanoQL.dll
A spread curve bootstrapped on rate helpers over a base curve: its nodes are discount factors whose product with the base's discount reprices each helper.
public class PiecewiseSpreadYieldCurve<TInterpolator, TBootstrap> : PiecewiseYieldCurve<Discount, TInterpolator, TBootstrap>, IInterpolatedCurve<Discount, TInterpolator> where TInterpolator : struct, IInterpolator where TBootstrap : struct, IBootstrapType Parameters
TInterpolatorThe interpolator of the spread discount factors.
TBootstrapThe bootstrap (IterativeBootstrap, GlobalBootstrap).
- Inheritance
-
PiecewiseYieldCurve<Discount, TInterpolator, TBootstrap>PiecewiseSpreadYieldCurve<TInterpolator, TBootstrap>
- Implements
-
IInterpolatedCurve<Discount, TInterpolator>
- Derived
- Inherited Members
- Extension Methods
Remarks
QuantLib's curve is PiecewiseYieldCurve<SpreadTraits<Discount>, I, B>, deriving from the spread
discount curve its traits name; SpreadTraits<Discount> is Discount with that curve type,
its guesses, bounds and iteration counts Discount's. So this curve is the piecewise discount curve
on a base: its discount is the base's times the interpolated spread discount, and its maximum date the earlier of
its own and the base's (see PiecewiseYieldCurve<TTraits, TInterpolator, TBootstrap>); its reference
date, calendar, settlement days, day counter and extrapolation flag are the base's, read when it is built. It adds
QuantLib's constructor and BaseCurve only.
QuantLib's spread discount curve reads the base without extrapolation (spreaddiscountcurve.hpp:157), so a
bootstrap or a read past a base that doesn't extrapolate throws where the zero- and forward-spreaded curves
extrapolate; here the base is read with extrapolation on, as theirs is. A documented divergence.
Constructors
PiecewiseSpreadYieldCurve(YieldTermStructure, IEnumerable<BootstrapHelper<YieldTermStructure>>, EvaluationContext, TInterpolator, TBootstrap)
Initializes a new instance of the PiecewiseSpreadYieldCurve<TInterpolator, TBootstrap> class, and bootstraps it.
public PiecewiseSpreadYieldCurve(YieldTermStructure baseCurve, IEnumerable<BootstrapHelper<YieldTermStructure>> instruments, EvaluationContext context, TInterpolator i = default, TBootstrap bootstrap = default)Parameters
baseCurveYieldTermStructureThe base curve the spread is bootstrapped over.
instrumentsIEnumerable<BootstrapHelper<YieldTermStructure>>The helpers the curve is bootstrapped on.
contextEvaluationContextThe evaluation context the helpers are dated and priced in.
iTInterpolatorThe interpolator.
bootstrapTBootstrapThe bootstrap.
Exceptions
- ArgumentNullException
baseCurve,instrumentsorcontextis null.- ArgumentException
A helper is null.
- NanoQLException
The bootstrap fails.
Properties
BaseCurve
Gets the base curve the spread is bootstrapped over.
public YieldTermStructure BaseCurve { get; }