ForwardSpreadedTermStructure Class Reference
[Term structures]
Term structure with added spread on the instantaneous forward rate.
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#include <ql/termstructures/yield/forwardspreadedtermstructure.hpp>
Inheritance diagram for ForwardSpreadedTermStructure:

Public Member Functions | |
ForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread) | |
YieldTermStructure interface | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Calendar | calendar () const |
the calendar used for reference and/or option date calculation | |
Natural | settlementDays () const |
the settlementDays used for reference date calculation | |
const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
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 | |
Protected Member Functions | |
ForwardRateStructure implementation | |
Rate | forwardImpl (Time t) const |
instantaneous forward-rate calculation | |
Rate | zeroYieldImpl (Time t) const |
Detailed Description
Term structure with added spread on the instantaneous forward rate.
- Note:
- 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.
- Tests:
- 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
Rate zeroYieldImpl | ( | Time | ) | const [protected, virtual] |
Returns the zero yield rate for the given date calculating it from the instantaneous forward rate as
- 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.