ForwardRateStructure Class Reference
[Term structures]
#include <ql/TermStructures/forwardstructure.hpp>
Inheritance diagram for ForwardRateStructure:

Detailed Description
Forward rate term structure.
This abstract class acts as an adapter to TermStructure allowing the programmer to implement only the forwardImpl(const Date&, bool)
method in derived classes. Zero yields and discounts are calculated from forwards.
Rates are assumed to be annual continuous compounding.
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
ForwardRateStructure () | |
ForwardRateStructure (const Date &referenceDate) | |
ForwardRateStructure (Integer settlementDays, const Calendar &) | |
Protected Member Functions | |
YieldTermStructure implementation | |
DiscountFactor | discountImpl (Time) const |
virtual Rate | forwardImpl (Time) const =0 |
instantaneous forward-rate calculation | |
virtual Rate | zeroYieldImpl (Time) const |
Member Function Documentation
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Returns the discount factor for the given date calculating it from the instantaneous forward rate. Implements YieldTermStructure. Reimplemented in CompoundForward. |
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Returns the zero yield rate for the given date calculating it from the instantaneous forward rate.
Reimplemented in CompoundForward, InterpolatedForwardCurve, and ForwardSpreadedTermStructure. |