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QuantLib_InterpolatedForwardCurve
Langue: en
Version: 167152 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::InterpolatedForwardCurve - Term structure based on interpolation of forward rates.SYNOPSIS
#include <ql/termstructures/yield/forwardcurve.hpp>
Inherits QuantLib::ForwardRateStructure, and boost::noncopyable.
Public Member Functions
InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator())
Inspectors
std::vector< Date > dates_
std::vector< Time > times_
std::vector< Rate > data_
Interpolation interpolation_
Interpolator interpolator_
Date maxDate () const
the latest date for which the curve can return values
const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< Rate > & forwards () const
std::vector< std::pair< Date, Rate > > nodes () const
InterpolatedForwardCurve (const DayCounter &, const Interpolator &interpolator=Interpolator())
InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const Interpolator &interpolator=Interpolator())
InterpolatedForwardCurve (Natural settlementDays, const Calendar &, const DayCounter &, const Interpolator &interpolator=Interpolator())
Rate forwardImpl (Time t) const
instantaneous forward-rate calculation
Rate zeroYieldImpl (Time t) const
Detailed Description
template<class Interpolator> class QuantLib::InterpolatedForwardCurve< Interpolator >
Term structure based on interpolation of forward rates.Member Function Documentation
Rate zeroYieldImpl (Time t) const [protected, virtual]
Returns the zero yield rate for the given date calculating it from the instantaneous forward rate.
Warning
- This is just a default, highly inefficient and possibly wildly inaccurate implementation. Derived classes should implement their own zeroYield method.
Reimplemented from ForwardRateStructure.
Author
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