Class implements Builder design pattern that can be used to create interest rate curves. More...

#include <irCurveBuilder.hpp>

Public Member Functions
	BuildCurve ()
	constructor More...

BuildCurve &	asOfDate (const Date &)
	sets date of curve More...

BuildCurve &	withCalendar (const Calendar &)
	sets calendar More...

BuildCurve &	withDates (const std::vector< Date > &)
	sets grid dates of the curve More...

BuildCurve &	withTenors (const std::vector< Tenor > &)
	sets tenors, basing on tenors the grid dates of the curve are calculated More...

BuildCurve &	withTenors (const std::vector< std::string > &)
	sets tenors, basing on tenors the grid dates of the curve are calculated More...

BuildCurve &	withDiscountFactors (const std::vector< double > &)
	sets discount factors More...

BuildCurve &	withZeroCouponRate (const double)
	sets zero coupon rate More...

BuildCurve &	withZeroCouponRates (const std::vector< double > &)
	sets zero coupon rates More...

BuildCurve &	withForwardRates (const std::vector< double > &)
	sets forward rates More...

BuildCurve &	withSetOfInstruments (const std::vector< SmartPointer< BuildingBlock > > &)
	sets benchmark instruments More...

BuildCurve &	usingDiscountingCurve (const SmartPointer< ir::Curve > &)
	sets discounting curve used in multiple curve framework More...

BuildCurve &	usingProjectionCurve (const SmartPointer< ir::Curve > &)
	sets projection curve used in multiple curve framework More...

BuildCurve &	withInterestRate (const InterestRate &)
	sets interest rate convention More...

BuildCurve &	withInterpolator (const SmartPointer< Interpolator > &)
	sets interpolator More...

BuildCurve &	withExtrapolator (const SmartPointer< Extrapolator > &)
	sets extrapolator More...

BuildCurve &	usingEstimator (const SmartPointer< Estimator > &)
	sets estimator More...

BuildCurve &	withFxSpot (const double &)
	sets fx spot More...

	operator InterpolatedCurve ()
	Creates interpolated interest rate curve. More...

	operator FlatCurve ()
	creates flat interest rate curve More...

Private Types
enum	InputType { NONE, DF, ZCR, FWD, INSTRUMENTS }
	Auxiliary type used to identify what data are used to create curve. More...

Private Attributes
std::vector< Date >	dates_
	dates that can be used as grid dates of interpolated interest rate curve More...

std::vector< Tenor >	tenors_
	tenors that can be used to calculate grid dates More...

std::vector< double >	double_holder_
	vector holding the doubles which may represent DFs, ZCRs or Fwds More...

double	zero_coupon_rate_
	zero coupon rate required by flat curve More...

std::vector< SmartPointer< BuildingBlock > >	instruments_
	benchmark instrument that are used to estimate curve More...

InterestRate	rate_
	convention of interest rate compounding More...

SmartPointer< Interpolator >	interpolator_
	interpolator used by interpolated rate curve More...

SmartPointer< Extrapolator >	extrapolator_
	extrapolator used by interpolated rate curve More...

SmartPointer< Estimator >	estimator_
	estimator used to estimate curve basing on the instruments More...

Calendar	calendar_
	calendar used by interest rate curve More...

SmartPointer< ir::Curve >	discounting_curve_
	discounting curve used in multiple curve framework More...

SmartPointer< ir::Curve >	projection_curve_
	projection curve used in multiple curve framework More...

Date	today_
	date of interest rate curve More...

double	fx_spot_
	fx spot used by when constructing cross currency curve More...

InputType	method_of_construction_
	contains information what method was used to construct curve More...

Detailed Description

Class implements Builder design pattern that can be used to create interest rate curves.

Class provides simple and clear interface for constructing the interest rate curve. The class contains the methods through which the parameters of curve are established. If some parameters are not given builder sets following default setting:

interpolator - linear interpolation of zero-coupon rates
extrapolator - extrapolating zero-coupon rate
rate - simple compounding ACT365

The curve can be constructed by:

providing the benchmark instruments and interest rate curve estimator
providing the dates (or tenors) and DFs/ZCRs/Fwds.

Examples:: algebraicBootstrapperExample.cpp, bondsExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

Member Enumeration Documentation

enum julian::ir::BuildCurve::InputType

strongprivate

Auxiliary type used to identify what data are used to create curve.

Constructor & Destructor Documentation

julian::ir::BuildCurve::BuildCurve ( )

constructor

Member Function Documentation

BuildCurve & julian::ir::BuildCurve::asOfDate ( const Date & input )

sets date of curve

Examples:: algebraicBootstrapperExample.cpp, bondsExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

julian::ir::BuildCurve::operator FlatCurve ( )

creates flat interest rate curve

This is conversion operator. It creates the flat curve with settings provided by other methods.

julian::ir::BuildCurve::operator InterpolatedCurve ( )

Creates interpolated interest rate curve.

This is conversion operator. It creates the interest rate curve with settings provided by other methods.

BuildCurve & julian::ir::BuildCurve::usingDiscountingCurve ( const SmartPointer< ir::Curve > & input )

sets discounting curve used in multiple curve framework

BuildCurve & julian::ir::BuildCurve::usingEstimator ( const SmartPointer< Estimator > & input )

sets estimator

Examples:: algebraicBootstrapperExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

BuildCurve & julian::ir::BuildCurve::usingProjectionCurve ( const SmartPointer< ir::Curve > & input )

sets projection curve used in multiple curve framework

BuildCurve & julian::ir::BuildCurve::withCalendar ( const Calendar & input )

sets calendar

Examples:: algebraicBootstrapperExample.cpp, bondsExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

BuildCurve & julian::ir::BuildCurve::withDates ( const std::vector< Date > & input )

sets grid dates of the curve

BuildCurve & julian::ir::BuildCurve::withDiscountFactors ( const std::vector< double > & input )

sets discount factors

BuildCurve & julian::ir::BuildCurve::withExtrapolator ( const SmartPointer< Extrapolator > & input )

sets extrapolator

Examples:: bootstrapperComparison.cpp.

BuildCurve & julian::ir::BuildCurve::withForwardRates ( const std::vector< double > & input )

sets forward rates

BuildCurve & julian::ir::BuildCurve::withFxSpot ( const double & input )

sets fx spot

BuildCurve & julian::ir::BuildCurve::withInterestRate ( const InterestRate & input )

sets interest rate convention

Examples:: algebraicBootstrapperExample.cpp, bondsExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

BuildCurve & julian::ir::BuildCurve::withInterpolator ( const SmartPointer< Interpolator > & input )

sets interpolator

Examples:: algebraicBootstrapperExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

BuildCurve & julian::ir::BuildCurve::withSetOfInstruments ( const std::vector< SmartPointer< BuildingBlock > > & input )

sets benchmark instruments

Examples:: algebraicBootstrapperExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

BuildCurve & julian::ir::BuildCurve::withTenors ( const std::vector< Tenor > & input )

sets tenors, basing on tenors the grid dates of the curve are calculated

BuildCurve & julian::ir::BuildCurve::withTenors ( const std::vector< std::string > & input )

sets tenors, basing on tenors the grid dates of the curve are calculated

BuildCurve & julian::ir::BuildCurve::withZeroCouponRate ( const double input )

sets zero coupon rate

Examples:: bondsExample.cpp.

BuildCurve & julian::ir::BuildCurve::withZeroCouponRates ( const std::vector< double > & input )

sets zero coupon rates

Member Data Documentation

Calendar julian::ir::BuildCurve::calendar_

private

calendar used by interest rate curve

std::vector<Date> julian::ir::BuildCurve::dates_

private

dates that can be used as grid dates of interpolated interest rate curve

SmartPointer<ir::Curve> julian::ir::BuildCurve::discounting_curve_

private

discounting curve used in multiple curve framework

std::vector<double> julian::ir::BuildCurve::double_holder_

private

vector holding the doubles which may represent DFs, ZCRs or Fwds

SmartPointer<Estimator> julian::ir::BuildCurve::estimator_

private

estimator used to estimate curve basing on the instruments

SmartPointer<Extrapolator> julian::ir::BuildCurve::extrapolator_

private

extrapolator used by interpolated rate curve

double julian::ir::BuildCurve::fx_spot_

private

fx spot used by when constructing cross currency curve

std::vector<SmartPointer<BuildingBlock> > julian::ir::BuildCurve::instruments_

private

benchmark instrument that are used to estimate curve

SmartPointer<Interpolator> julian::ir::BuildCurve::interpolator_

private

interpolator used by interpolated rate curve

InputType julian::ir::BuildCurve::method_of_construction_

private

contains information what method was used to construct curve

SmartPointer<ir::Curve> julian::ir::BuildCurve::projection_curve_

private

projection curve used in multiple curve framework

InterestRate julian::ir::BuildCurve::rate_

private

convention of interest rate compounding

std::vector<Tenor> julian::ir::BuildCurve::tenors_

private

tenors that can be used to calculate grid dates

Date julian::ir::BuildCurve::today_

private

date of interest rate curve

double julian::ir::BuildCurve::zero_coupon_rate_

private

zero coupon rate required by flat curve

The documentation for this class was generated from the following files:

C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/irCurveBuilder.hpp
C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/irCurveBuilder.cpp

Public Member Functions

Private Types

Private Attributes

Detailed Description

Member Enumeration Documentation

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation