ForwardRateStructure Class Reference
[Term structures]

#include <ql/TermStructures/forwardstructure.hpp>

Inheritance diagram for ForwardRateStructure:

Inheritance graph
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List of all members.

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 BaseTermStructure documentation for issues regarding constructors.

 ForwardRateStructure (const Date &todaysDate, const Date &referenceDate)
 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
Rate compoundForwardImpl (Time, Integer) const


Constructor & Destructor Documentation

ForwardRateStructure const Date todaysDate,
const Date referenceDate
 

Deprecated:
use the constructor without today's date; set the evaluation date through Settings::instance().


Member Function Documentation

DiscountFactor discountImpl Time   )  const [protected, virtual]
 

Returns the discount factor for the given date calculating it from the instantaneous forward rate.

Implements YieldTermStructure.

Reimplemented in CompoundForward.

Rate zeroYieldImpl Time   )  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.

Implements YieldTermStructure.

Reimplemented in CompoundForward, and ForwardSpreadedTermStructure.

Rate compoundForwardImpl Time  ,
Integer 
const [protected, virtual]
 

Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.

Implements YieldTermStructure.

Reimplemented in CompoundForward.


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