InterpolatedForwardCurve Class Template Reference
[Term structures]

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

Inheritance diagram for InterpolatedForwardCurve:

Inheritance graph
[legend]
List of all members.

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedForwardCurve< Interpolator >

Term structure based on interpolation of forward rates.


Inspectors

std::vector< Datedates_
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.