DefaultProbabilityTermStructure::DefaultProbabilityTermStructure(
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: TermStructure(dc), jumps_(jumps),
jumpDates_(jumpDates), jumpTimes_(jumpDates.size()),
nJumps_(jumps_.size()) {
setJumps();
for (Size i=0; i<nJumps_; ++i)
registerWith(jumps_[i]);
}
YieldTermStructure::YieldTermStructure(
Natural settlementDays,
const Calendar& cal,
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: TermStructure(settlementDays, cal, dc), jumps_(jumps),
jumpDates_(jumpDates), jumpTimes_(jumpDates.size()),
nJumps_(jumps_.size()) {
setJumps();
for (Size i=0; i<nJumps_; ++i)
registerWith(jumps_[i]);
}
void YieldTermStructure::update() {
TermStructure::update();
Date newReference = Date();
try {
newReference = referenceDate();
if (newReference != latestReference_)
setJumps();
} catch (Error&) {
if (newReference == Date()) {
// the curve couldn't calculate the reference
// date. Most of the times, this is because some
// underlying handle wasn't set, so we can just absorb
// the exception and continue; the jumps will be set
// correctly when a valid underlying is set.
return;
} else {
// something else happened during the call to
// setJumps(), so we let the exception bubble up.
throw;
}
}
}
