QuantLib_ForwardRateStructure

Langue: en

Autres versions - même langue

Version: 375427 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::ForwardRateStructure -

Forward-rate term structure

SYNOPSIS


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

Inherits QuantLib::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

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 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

ments YieldTermStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.

NAME
SYNOPSIS
Public Member Functions
Protected Member Functions
Detailed Description
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 ]
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