CompoundForward Class Reference

#include <ql/TermStructures/compoundforward.hpp>

Inheritance diagram for CompoundForward:

Inheritance graph
[legend]
List of all members.

Detailed Description

compound-forward structure

Tests:
  • the correctness of the curve is tested by reproducing the input data.
  • the correctness of the curve is tested by checking the consistency between returned rates and swaps priced on the curve.
Bug:
swap rates are not reproduced exactly when using indexed coupons. Apparently, some assumption about the swap fixings is hard-coded into the bootstrapping algorithm.


Public Member Functions

 CompoundForward (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter)
Calendar calendar () const
 the calendar used for reference date calculation
BusinessDayConvention businessDayConvention () const
DayCounter dayCounter () const
 the day counter used for date/time conversion
Integer compounding () const
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
const std::vector< Rate > & forwards () const
boost::shared_ptr< ExtendedDiscountCurvediscountCurve () const
Rate compoundForward (const Date &d1, Integer f, bool extrapolate=false) const
Rate compoundForward (Time t1, Integer f, bool extrapolate=false) const

Protected Member Functions

void calibrateNodes () const
boost::shared_ptr< YieldTermStructurebootstrap () const
Rate zeroYieldImpl (Time) const
DiscountFactor discountImpl (Time) const
Size referenceNode (Time) const
Rate forwardImpl (Time) const
 instantaneous forward-rate calculation
Rate compoundForwardImpl (Time, Integer) const


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.

Warning:
This is just a default, highly inefficient and possibly wildly inaccurate implementation. Derived classes should implement their own zeroYield method.

Reimplemented from ForwardRateStructure.

DiscountFactor discountImpl Time   )  const [protected, virtual]
 

Returns the discount factor for the given date calculating it from the instantaneous forward rate.

Reimplemented from ForwardRateStructure.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen