CompoundForward Class Reference

compound-forward structure More...

#include <ql/legacy/termstructures/compoundforward.hpp>

Inheritance diagram for CompoundForward:

List of all members.

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


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.

Member Function Documentation

Rate zeroYieldImpl ( Time  t  )  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  t  )  const [protected, virtual]

Returns the discount factor for the given date calculating it from the instantaneous forward rate.

Reimplemented from ForwardRateStructure.