CompoundForward Class Reference
#include <ql/termstructures/yieldcurves/compoundforward.hpp>
Inheritance diagram for CompoundForward:

Detailed Description
compound-forward structure
- Tests:
- the correctness of the curve is tested by reproducing the input data.
- 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.
Public Member Functions | |
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) | |
BusinessDayConvention | businessDayConvention () const |
Integer | compounding () const |
Date | maxDate () const |
the latest date 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 |
boost::shared_ptr< ExtendedDiscountCurve > | discountCurve () const |
Rate | compoundForward (const Date &d1, Integer f, bool extrapolate=false) const |
Rate | compoundForward (Time t1, Integer f, bool extrapolate=false) 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 | |
Rate | compoundForwardImpl (Time, Integer) const |
Member Function Documentation
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.
Reimplemented from ForwardRateStructure.
DiscountFactor discountImpl | ( | Time | ) | const [protected, virtual] |
Returns the discount factor for the given date calculating it from the instantaneous forward rate.
Reimplemented from ForwardRateStructure.