ForwardSpreadedTermStructure Class Reference
Term structure with added spread on the instantaneous forward rate. More...
#include <ql/termstructures/yield/forwardspreadedtermstructure.hpp>
Inheritance diagram for ForwardSpreadedTermStructure:

Public Member Functions | |
ForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread) | |
TermStructure interface | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Date | maxDate () const |
the latest date for which the curve can return values | |
Time | maxTime () const |
the latest time for which the curve can return values | |
const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
Calendar | calendar () const |
the calendar used for reference and/or option date calculation | |
Natural | settlementDays () const |
the settlementDays used for reference date calculation | |
Protected Member Functions | |
ForwardRateStructure implementation | |
Rate | forwardImpl (Time t) const |
instantaneous forward-rate calculation | |
Rate | zeroYieldImpl (Time t) const |
Detailed Description
Term structure with added spread on the instantaneous forward rate.
- Note:
- This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.
- Tests:
- the correctness of the returned values is tested by checking them against numerical calculations.
- observability against changes in the underlying term structure and in the added spread is checked.
Member Function Documentation
Returns the zero yield rate for the given date calculating it from the instantaneous forward rate as
- 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.