ImpliedTermStructure Class Reference
[Term structures]

#include <ql/termstructures/yieldcurves/impliedtermstructure.hpp>

Inheritance diagram for ImpliedTermStructure:

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List of all members.

Detailed Description

Implied term structure at a given date in the future.

The given date will be the implied reference date.

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:
  • the correctness of the returned values is tested by checking them against numerical calculations.
  • observability against changes in the underlying term structure is checked.


Public Member Functions

 ImpliedTermStructure (const Handle< YieldTermStructure > &, const Date &referenceDate)
YieldTermStructure interface
DayCounter dayCounter () const
 the day counter used for date/time conversion
Calendar calendar () const
 the calendar used for reference date calculation
Date maxDate () const
 the latest date for which the curve can return values

Protected Member Functions

DiscountFactor discountImpl (Time) const
 returns the discount factor as seen from the evaluation date