QuantLib_ForwardRateStructure (3) - Linux Man Pages
QuantLib_ForwardRateStructure: Forward-rate term structure
QuantLib::ForwardRateStructure - Forward-rate term structure
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
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.
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.
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.
Generated automatically by Doxygen for QuantLib from the source code.