org.jquantlib.termstructures.yieldcurves

Class ZeroSpreadedTermStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.AbstractYieldTermStructure

org.jquantlib.termstructures.yieldcurves.ZeroYieldStructure

org.jquantlib.termstructures.yieldcurves.ZeroSpreadedTermStructure

All Implemented Interfaces:

Extrapolator, TermStructure, YieldTermStructure, Observable, Observer

public class ZeroSpreadedTermStructure
extends ZeroYieldStructure

Constructor Summary

Constructors

Constructor and Description
ZeroSpreadedTermStructure(Handle<YieldTermStructure> h, Handle<Quote> spread, Compounding comp, Frequency freq, DayCounter dc)

Method Summary

Modifier and Type	Method and Description
Calendar	calendar() Return the calendar used for reference date calculation
double	forwardImpl(double t)
Date	maxDate()
double	maxTime() Returns the latest double for which the curve can return values
Date	referenceDate() Returns the Date at which discount = 1.0 and/or variance = 0.0

Methods inherited from class org.jquantlib.termstructures.AbstractYieldTermStructure

discount, discount, discount, discount, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, parRate, parRate, parRate, zeroRate, zeroRate, zeroRate, zeroRate

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, countObservers, dayCounter, deleteObserver, deleteObservers, disableExtrapolation, enableExtrapolation, getObservers, notifyObservers, notifyObservers, settlementDays, timeFromReference, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.termstructures.TermStructure

dayCounter, settlementDays, timeFromReference

Methods inherited from interface org.jquantlib.math.interpolations.Extrapolator

allowsExtrapolation, disableExtrapolation, enableExtrapolation

Methods inherited from interface org.jquantlib.util.Observer

update

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Constructor Detail

ZeroSpreadedTermStructure

public ZeroSpreadedTermStructure(Handle<YieldTermStructure> h,
                                 Handle<Quote> spread,
                                 Compounding comp,
                                 Frequency freq,
                                 DayCounter dc)

Method Detail

forwardImpl

public double forwardImpl(double t)

calendar

public Calendar calendar()

Description copied from interface: TermStructure

Return the calendar used for reference date calculation

Specified by:

calendar in interface TermStructure

Overrides:

calendar in class AbstractTermStructure

Returns:

the calendar used for reference date calculation

referenceDate

public Date referenceDate()

Description copied from interface: TermStructure

Returns the Date at which discount = 1.0 and/or variance = 0.0

Specified by:

referenceDate in interface TermStructure

Overrides:

referenceDate in class AbstractTermStructure

maxDate

public Date maxDate()

Returns:

the latest date for which the curve can return values

maxTime

public double maxTime()

Description copied from interface: TermStructure

Returns the latest double for which the curve can return values

Specified by:

maxTime in interface TermStructure

Overrides:

maxTime in class AbstractTermStructure

Returns:

the latest double for which the curve can return values