InterpolatedForwardCurve Class Template Reference
[Term structures]

YieldTermStructure based on interpolation of forward rates. More...

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

Inheritance diagram for InterpolatedForwardCurve:

List of all members.

Public Member Functions

 InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
 InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)
 InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator)
TermStructure interface
Date maxDate () const
 the latest date for which the curve can return values
other inspectors
const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< Real > & data () const
const std::vector< Rate > & forwards () const
std::vector< std::pair< Date,
Real > > 
nodes () const

Protected Member Functions

 InterpolatedForwardCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
 InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
 InterpolatedForwardCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
ForwardRateStructure implementation
Rate forwardImpl (Time t) const
 instantaneous forward-rate calculation
Rate zeroYieldImpl (Time t) const

Protected Attributes

std::vector< Datedates_


Detailed Description

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

YieldTermStructure based on interpolation of forward rates.


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 $ f(t) $ as

\[ z(t) = \int_0^t f(\tau) d\tau \]

Warning:
This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.

Reimplemented from ForwardRateStructure.