QuantLib_ForwardSpreadedTermStructure man page
ForwardSpreadedTermStructure — Term structure with added spread on the instantaneous forward rate.
Public Member Functions
ForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread)
DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values
Time maxTime () const
the latest time for which the curve can return values
const Date & referenceDate () const
the date at which discount = 1.0 and/or variance = 0.0
Calendar calendar () const
the calendar used for reference and/or option date calculation
Natural settlementDays () const
the settlementDays used for reference date calculation
void update ()
Protected Member Functions
Rate forwardImpl (Time t) const
instantaneous forward-rate calculation
Rate zeroYieldImpl (Time t) const
Additional Inherited Members
Term structure with added spread on the instantaneous forward rate.
This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.
- the correctness of the returned values is tested by checking them against numerical calculations.
- observability against changes in the underlying term structure and in the added spread is checked.
Member Function Documentation
void update () [virtual]
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from TermStructure.
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 ]
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 from ForwardRateStructure.
Generated automatically by Doxygen for QuantLib from the source code.
ForwardSpreadedTermStructure(3) is an alias of QuantLib_ForwardSpreadedTermStructure(3).