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QuantLib_ForwardRateStructure
Langue: en
Version: 375427 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- 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
- ments YieldTermStructure.
- Author
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
-
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