QuantLib_InterpolatedForwardCurve man page

InterpolatedForwardCurve< Interpolator > — YieldTermStructure based on interpolation of forward rates.

Synopsis

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

Inherits ForwardRateStructure, and InterpolatedCurve< Interpolator >.

Public Member Functions

InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)

InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator)

TermStructure interface

Date maxDate () const
the latest date for which the curve can return values

other inspectors

const std::vector< Time > & times () const

const std::vector< Date > & dates () const

const std::vector< Real > & data () const

const std::vector< Rate > & forwards () const

std::vector< std::pair< Date, Real > > nodes () const

Protected Member Functions

InterpolatedForwardCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

InterpolatedForwardCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

ForwardRateStructure implementation

Rate forwardImpl (Time t) const
instantaneous forward-rate calculation
Rate zeroYieldImpl (Time t) const

Protected Attributes

std::vector< Date > dates_

Additional Inherited Members

Detailed Description

template<class Interpolator>

class QuantLib::InterpolatedForwardCurve< Interpolator >" YieldTermStructure based on interpolation of forward rates.

Member Function Documentation

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 from ForwardRateStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

InterpolatedForwardCurve(3) is an alias of QuantLib_InterpolatedForwardCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib