ForwardRateStructure Class Reference
[Term structures]

Forward-rate term structure More...

#include <ql/termstructures/yield/forwardstructure.hpp>

Inheritance diagram for ForwardRateStructure:

List of all members.

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


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.


Member Function Documentation

DiscountFactor discountImpl ( Time  t  )  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  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 in CompoundForward, InterpolatedForwardCurve, and ForwardSpreadedTermStructure.