QuantLib_ForwardRateStructure man page

ForwardRateStructure — Forward-rate term structure

Synopsis

#include <ql/termstructures/yield/forwardstructure.hpp>

Inherits YieldTermStructure.

Inherited by ForwardSpreadedTermStructure, and InterpolatedForwardCurve< Interpolator >.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

ForwardRateStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

ForwardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

Protected Member Functions

Calculations
These methods must be implemented in derived classes to perform the actual calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

virtual Rate forwardImpl (Time) const =0
instantaneous forward-rate calculation
virtual Rate zeroYieldImpl (Time) const

YieldTermStructure implementation

DiscountFactor discountImpl (Time) const

Additional Inherited Members

Detailed Description

Forward-rate term structure

This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the forwardImpl(Time) method in derived classes.

Zero yields and discounts are calculated from forwards.

Forward rates are assumed to be annual continuous compounding.

Member Function Documentation

virtual Rate zeroYieldImpl (Time) const [protected], [virtual]

Returns the zero yield rate for the given date calculating it from the instantaneous forward rate $ f(t) $ as [ z(t) = int_0^t f( au) d au ]

Warning

This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.

Reimplemented in InterpolatedForwardCurve< Interpolator >, and ForwardSpreadedTermStructure.

DiscountFactor discountImpl (Time t) const [protected], [virtual]

Returns the discount factor for the given date calculating it from the zero rate as $ d(t) = \xp left( -z(t) t right) $

Implements YieldTermStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

discountImpl(3), forwardImpl(3) and ForwardRateStructure(3) are aliases of QuantLib_ForwardRateStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib