calibrateNodes (3) - Linux Man Pages

calibrateNodes: compound-forward structure

NAME

QuantLib::CompoundForward - compound-forward structure

SYNOPSIS


#include <ql/legacy/termstructures/compoundforward.hpp>

Inherits QuantLib::ForwardRateStructure.

Public Member Functions


CompoundForward (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter)

BusinessDayConvention businessDayConvention () const

Integer compounding () const

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

boost::shared_ptr< ExtendedDiscountCurve > discountCurve () const

Rate compoundForward (const Date &d1, Integer f, bool extrapolate=false) const

Rate compoundForward (Time t1, Integer f, bool extrapolate=false) const

Protected Member Functions


void calibrateNodes () const

boost::shared_ptr< YieldTermStructure > bootstrap () const

Rate zeroYieldImpl (Time) const

DiscountFactor discountImpl (Time) const

Size referenceNode (Time) const

Rate forwardImpl (Time) const
instantaneous forward-rate calculation
Rate compoundForwardImpl (Time, Integer) const

Detailed Description

compound-forward structure

Tests

*
the correctness of the curve is tested by reproducing the input data.
*
the correctness of the curve is tested by checking the consistency between returned rates and swaps priced on the curve.

Bug

swap rates are not reproduced exactly when using indexed coupons. Apparently, some assumption about the swap fixings is hard-coded into the bootstrapping algorithm.

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.

Warning

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

Reimplemented from ForwardRateStructure.

DiscountFactor discountImpl (Time t) const [protected, virtual]

Returns the discount factor for the given date calculating it from the instantaneous forward rate.

Reimplemented from ForwardRateStructure.

Author

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