InterpolatedForwardCurve Class Template Reference
[Term structures]
#include <ql/TermStructures/forwardcurve.hpp>
Inheritance diagram for InterpolatedForwardCurve:
[legend]List of all members.
Detailed Description
template<class Interpolator>
class QuantLib::InterpolatedForwardCurve< Interpolator >
Term structure based on interpolation of forward rates.
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Inspectors |
DayCounter | dayCounter () const |
| the day counter used for date/time conversion
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Date | maxDate () const |
| the latest date for which the curve can return rates
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Time | maxTime () const |
| the latest time for which the curve can return rates
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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
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Rate | zeroYieldImpl (Time t) const |
DayCounter | dayCounter_ |
std::vector< Date > | dates_ |
std::vector< Time > | times_ |
std::vector< Rate > | data_ |
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 |
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Time |
t |
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const [protected, virtual] |
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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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