ImpliedTermStructure (3) - Linux Manuals

ImpliedTermStructure: Implied term structure at a given date in the future.

NAME

QuantLib::ImpliedTermStructure - Implied term structure at a given date in the future.

SYNOPSIS

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

Inherits QuantLib::YieldTermStructure.

Public Member Functions

ImpliedTermStructure (const Handle< YieldTermStructure > &, const Date &referenceDate)

YieldTermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
Calendar calendar () const
the calendar used for reference and/or option date calculation
Natural settlementDays () const
the settlementDays used for reference date calculation
Date maxDate () const
the latest date for which the curve can return values

Protected Member Functions

DiscountFactor discountImpl (Time) const
returns the discount factor as seen from the evaluation date

Detailed Description

Implied term structure at a given date in the future.

The given date will be the implied reference date.

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 is checked.

Author

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