ForwardRateStructure Class Reference
[Term structures]
#include <ql/termstructures/yieldcurves/forwardstructure.hpp>
Inheritance diagram for ForwardRateStructure:

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.