ForwardRateStructure Class Reference
[Term structures]

#include <ql/termstructures/yieldcurves/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 TermStructure documentation for issues regarding constructors.

 ForwardRateStructure (const DayCounter &dayCounter=Actual365Fixed())
 ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=Actual365Fixed())
 ForwardRateStructure (Natural settlementDays, const Calendar &, const DayCounter &dayCounter=Actual365Fixed())

Protected Member Functions

YieldTermStructure implementation
DiscountFactor discountImpl (Time) const
virtual Rate forwardImpl (Time) const=0
 instantaneous forward-rate calculation
virtual Rate zeroYieldImpl (Time) const


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.

Reimplemented in CompoundForward, InterpolatedForwardCurve, and ForwardSpreadedTermStructure.