QuantLib::InterpolatedForwardCurve - Term structure based on interpolation of forward rates.


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

Inherits QuantLib::ForwardRateStructure, and boost::noncopyable.

Public Member Functions

InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator())


std::vector< Date > dates_

std::vector< Time > times_

std::vector< Rate > data_

Interpolation interpolation_

Interpolator interpolator_

Date maxDate () const
the latest date for which the curve can return values
const std::vector< Time > & times () const

const std::vector< Date > & dates () const

const std::vector< Rate > & forwards () const

std::vector< std::pair< Date, Rate > > nodes () const

InterpolatedForwardCurve (const DayCounter &, const Interpolator &interpolator=Interpolator())

InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const Interpolator &interpolator=Interpolator())

InterpolatedForwardCurve (Natural settlementDays, const Calendar &, const DayCounter &, const Interpolator &interpolator=Interpolator())

Rate forwardImpl (Time t) const
instantaneous forward-rate calculation
Rate zeroYieldImpl (Time t) const

Detailed Description

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

Term structure based on interpolation of forward rates.

Member Function Documentation

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 from ForwardRateStructure.


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