ForwardSpreadedTermStructure Class Reference
[Term structures]

#include <ql/TermStructures/forwardspreadedtermstructure.hpp>

Inheritance diagram for ForwardSpreadedTermStructure:

Inheritance graph
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List of all members.

Detailed Description

Term structure with added spread on the instantaneous forward rate.

Note:
This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.

Tests:
a) the correctness of the returned values is tested by checking them against numerical calculations.

b) observability against changes in the underlying term structure and in the added spread is checked.


Public Member Functions

 ForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread)
YieldTermStructure interface
DayCounter dayCounter () const
 the day counter used for date/time conversion
Calendar calendar () const
 the calendar used for reference date calculation
const DatetodaysDate () const
 today's date
const DatereferenceDate () const
 the reference date, i.e., the date at which discount = 1
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

Protected Member Functions

Rate forwardImpl (Time) const
 returns the spreaded forward rate
Rate zeroYieldImpl (Time) const
 returns the spreaded zero yield rate


Member Function Documentation

const Date & todaysDate  )  const [virtual]
 

today's date

Deprecated:
use Settings::instance().evaluationDate().

Reimplemented from BaseTermStructure.

Rate zeroYieldImpl Time   )  const [protected, virtual]
 

returns the spreaded zero yield rate

Warning:
This method must disappear should the spread become a curve

Reimplemented from ForwardRateStructure.


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