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

Detailed Description
template<class Interpolator>
class QuantLib::InterpolatedForwardCurve< Interpolator >
Term structure based on interpolation of forward rates.
Inspectors | |
std::vector< Date > | dates_ |
std::vector< Time > | times_ |
std::vector< Rate > | data_ |
Interpolation | interpolation_ |
Interpolator | interpolator_ |
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 |
std::vector< std::pair< Date, Rate > > | nodes () const |
InterpolatedForwardCurve (const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
InterpolatedForwardCurve (Natural settlementDays, const Calendar &, const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
Rate | forwardImpl (Time t) const |
instantaneous forward-rate calculation | |
Rate | zeroYieldImpl (Time t) const |
Public Member Functions | |
InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator()) |
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.