InterpolatedForwardCurve Class Template Reference
[Term structures]

#include <ql/TermStructures/forwardcurve.hpp>

Inheritance diagram for InterpolatedForwardCurve:

Inheritance graph
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List of all members.

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedForwardCurve< Interpolator >

Term structure based on interpolation of forward rates.


Inspectors

DayCounter dayCounter () const
 the day counter used for date/time conversion
Date maxDate () const
 the latest date for which the curve can return rates
Time maxTime () const
 the latest time for which the curve can return rates
const std::vector< Time > & times () const
const std::vector< Date > & dates () const
 InterpolatedForwardCurve (const DayCounter &, const Interpolator &interpolator=Interpolator())
 InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const Interpolator &interpolator=Interpolator())
 InterpolatedForwardCurve (Integer settlementDays, const Calendar &, const DayCounter &, const Interpolator &interpolator=Interpolator())
Rate forwardImpl (Time t) const
 instantaneous forward-rate calculation
Rate zeroYieldImpl (Time t) const
DayCounter dayCounter_
std::vector< Datedates_
std::vector< Timetimes_
std::vector< Ratedata_
Interpolation interpolation_
Interpolator interpolator_

Public Member Functions

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


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.


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