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_
std::vector< Datedates_
std::vector< Time > times_
std::vector< Rate > data_
Interpolation interpolation_
Interpolator interpolator_
DayCounter dayCounter () const
 the day counter used for date/time conversion
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
const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< Rate > & forwards () const
std::vector< std::pair< Date,
Rate > > 
nodes () 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

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.