Class SpreadedCubicZeroInterpolatedTermStructure

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

A yield curve with spreads added to another curve's zero rates, interpolated cubically between their dates.

public sealed class SpreadedCubicZeroInterpolatedTermStructure : InterpolatedPiecewiseZeroSpreadedTermStructure<Cubic>

Inheritance

object

Extrapolator

TermStructure

YieldTermStructure

ZeroYieldStructure

InterpolatedPiecewiseZeroSpreadedTermStructure<Cubic>

SpreadedCubicZeroInterpolatedTermStructure

Inherited Members

InterpolatedPiecewiseZeroSpreadedTermStructure<Cubic>.Factory

InterpolatedPiecewiseZeroSpreadedTermStructure<Cubic>.Calendar

InterpolatedPiecewiseZeroSpreadedTermStructure<Cubic>.SettlementDays

InterpolatedPiecewiseZeroSpreadedTermStructure<Cubic>.MaxDate

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.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 InterpolatedPiecewiseZeroSpreadedTermStructure<TInterpolator> on Cubic: it adds constructors only.

Constructors

SpreadedCubicZeroInterpolatedTermStructure(YieldTermStructure, IEnumerable<double>, IEnumerable<Date>, Compounding, Frequency, Cubic)

Initializes a new instance of the SpreadedCubicZeroInterpolatedTermStructure class.

public SpreadedCubicZeroInterpolatedTermStructure(YieldTermStructure originalCurve, IEnumerable<double> spreads, IEnumerable<Date> dates, Compounding comp = Compounding.Continuous, Frequency freq = Frequency.NoFrequency, Cubic factory = default)

Parameters

originalCurve YieldTermStructure

The curve the spreads are added to.

spreads IEnumerable<double>

The spreads, one per date.

dates IEnumerable<Date>

The spreads' dates, sorted.

comp Compounding

The compounding the spreads are added in.

freq Frequency

The frequency the spreads are added in, which a compounded rule needs.

factory Cubic

The interpolator.

Exceptions

ArgumentNullException

originalCurve, spreads or dates is null.

ArgumentOutOfRangeException

The compounding or the frequency isn't a member of its enum.

ArgumentException

The spreads or their dates are refused, as InterpolatedPiecewiseZeroSpreadedTermStructure<TInterpolator> refuses them.

NanoQLException

The interpolation refuses the spreads.