ForwardRateStructure (3) - Linux Man Pages

ForwardRateStructure: Forward-rate term structure


QuantLib::ForwardRateStructure - Forward-rate term structure


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

Inherits QuantLib::YieldTermStructure.

Inherited by CompoundForward, ForwardSpreadedTermStructure, and InterpolatedForwardCurve< Interpolator >.

Public Member Functions

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.


This is just a default, highly inefficient and possibly wildly inaccurate implementation. Derived classes should implement their own zeroYield method.

Reimplemented in CompoundForward, InterpolatedForwardCurve< Interpolator >, and ForwardSpreadedTermStructure.


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