QuantLib 0.3.8
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Reference manual
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CompoundForward Class Reference#include <ql/TermStructures/compoundforward.hpp>
Inheritance diagram for CompoundForward:
[legend]List of all members.
Detailed Description
compound-forward structure
- Tests:
- a) the correctness of the curve is tested by reproducing the input data.
b) 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.
the class does not operate correctly when QL_DISABLE_DEPRECATED is defined. Investigation is required.
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Public Member Functions |
| CompoundForward (const Date &todaysDate, 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) |
| 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
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BusinessDayConvention | businessDayConvention () const |
DayCounter | dayCounter () const |
| the day counter used for date/time conversion
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Integer | compounding () const |
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 |
const std::vector< Rate > & | forwards () const |
boost::shared_ptr< YieldTermStructure > | discountCurve () const |
Protected Member Functions |
void | calibrateNodes () const |
boost::shared_ptr< YieldTermStructure > | bootstrap () const |
Rate | zeroYieldImpl (Time) const |
DiscountFactor | discountImpl (Time) const |
Size | referenceNode (Time) const |
Rate | forwardImpl (Time) const |
| instantaneous forward-rate calculation
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Rate | compoundForwardImpl (Time, Integer) const |
Constructor & Destructor Documentation
Member Function Documentation
Rate zeroYieldImpl |
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Time |
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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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Returns the discount factor for the given date calculating it from the instantaneous forward rate.
Reimplemented from ForwardRateStructure. |
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Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.
Reimplemented from ForwardRateStructure. |
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