QuantLib_ForwardSpreadedTermStructure (3) - Linux Manuals
QuantLib_ForwardSpreadedTermStructure: Term structure with added spread on the instantaneous forward rate.
QuantLib::ForwardSpreadedTermStructure - Term structure with added spread on the instantaneous forward rate.
Public Member Functions
ForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread)
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
const Date & referenceDate () const
the date at which discount = 1.0 and/or variance = 0.0
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
Protected Member Functions
Rate forwardImpl (Time) const
returns the spreaded forward rate
Rate zeroYieldImpl (Time) const
returns the spreaded zero yield rate
Term structure with added spread on the instantaneous forward rate.
- 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.
- 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.
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