Building Block is a class that defines the interface for benchmark instruments used for estimating interest rate curve. More...

#include <curveBuildingBlock.hpp>

Inheritance diagram for julian::ir::BuildingBlock:

Public Member Functions
virtual Date	getDate () const =0
	returns maturity. More...

virtual double	calibrate (const SmartPointer< ir::Curve > &calibrated)=0
	Method calibrate is used by root finding estimator. More...

virtual double	calibrate (const SmartPointer< Curve > &discounting, const SmartPointer< Curve > &projection, const SmartPointer< Curve > &calibrated)=0
	Method calibrate is used by root finding estimator. More...

virtual double	getParRate (const SmartPointer< Curve > &discounting, const SmartPointer< Curve > &projection, const SmartPointer< Curve > &projection2)=0
	Implies quoting of benchmark instrument from interest rate curves provided. More...

virtual double	getQuoting ()=0
	Returns quoting of the instrument. More...

virtual void	changeQuoting (double)=0
	changes quoting of the instrument More...

virtual std::pair< CashFlowVector, CashFlowVector >	getCFs () const =0
	Returns the sets of cashflows associated with the benchmark instruments. More...

virtual InterestRate	getInterestRate () const =0
	Returns interest rates convention of the benchmark instruments. More...

virtual std::string	info () const =0
	Returns a name of instrument. More...

virtual BuildingBlock *	clone () const =0
	Virtual copy constructor. More...

virtual	~BuildingBlock ()
	destructor More...

Detailed Description

Building Block is a class that defines the interface for benchmark instruments used for estimating interest rate curve.

Building Blocks defines the interface used by interest rate curve estimators.

Method calibrate is used by Newton Raphson Estimator. The estimator calibrates curve by finding the root of this method.
Method parRate, giveQuoting and changeQuoting are used by smoothing optimization algorithms that find the curve which minimizes the difference between market rate and quoting implied from the curve.
Method getCFs are used by standard boots-trappers which are based on defining linear system of equation [CFij] [DFi] = [PRIZEj]

Constructor & Destructor Documentation

virtual julian::ir::BuildingBlock::~BuildingBlock ( )

inlinevirtual

destructor

Member Function Documentation

virtual double julian::ir::BuildingBlock::calibrate ( const SmartPointer< ir::Curve > & calibrated )

pure virtual

Method calibrate is used by root finding estimator.

The estimator calibrates curve by finding the root of this method.

Implemented in julian::IRS, julian::FRA, and julian::Deposit.

virtual double julian::ir::BuildingBlock::calibrate	(	const SmartPointer< Curve > &	discounting,
		const SmartPointer< Curve > &	projection,
		const SmartPointer< Curve > &	calibrated
	)

pure virtual

Method calibrate is used by root finding estimator.

The estimator calibrates curve by finding the root of this method. This method is used when multi-curve environment is used.

Implemented in julian::IRS, julian::FRA, and julian::Deposit.

virtual void julian::ir::BuildingBlock::changeQuoting ( double )

pure virtual

changes quoting of the instrument

Implemented in julian::IRS, julian::FRA, and julian::Deposit.

virtual BuildingBlock* julian::ir::BuildingBlock::clone ( ) const

pure virtual

Virtual copy constructor.

Implemented in julian::IRS, julian::FRA, and julian::Deposit.

virtual std::pair<CashFlowVector, CashFlowVector> julian::ir::BuildingBlock::getCFs ( ) const

pure virtual

Returns the sets of cashflows associated with the benchmark instruments.

Implemented in julian::IRS, julian::FRA, and julian::Deposit.

virtual Date julian::ir::BuildingBlock::getDate ( ) const

pure virtual

returns maturity.

Implemented in julian::IRS, julian::FRA, and julian::Deposit.

virtual InterestRate julian::ir::BuildingBlock::getInterestRate ( ) const

pure virtual

Returns interest rates convention of the benchmark instruments.

Implemented in julian::IRS, julian::FRA, and julian::Deposit.

virtual double julian::ir::BuildingBlock::getParRate	(	const SmartPointer< Curve > &	discounting,
		const SmartPointer< Curve > &	projection,
		const SmartPointer< Curve > &	projection2
	)

pure virtual

Implies quoting of benchmark instrument from interest rate curves provided.

Implemented in julian::IRS, julian::FRA, and julian::Deposit.

virtual double julian::ir::BuildingBlock::getQuoting ( )

pure virtual

Returns quoting of the instrument.

Implemented in julian::IRS, julian::FRA, and julian::Deposit.

virtual std::string julian::ir::BuildingBlock::info ( ) const

pure virtual

Returns a name of instrument.

Implemented in julian::IRS, julian::FRA, and julian::Deposit.

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

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

Public Member Functions

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation