forwardImpl (3)  Linux Man Pages
forwardImpl: compoundforward structure
NAME
QuantLib::CompoundForward  compoundforward 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 forwardrate calculation
Rate compoundForwardImpl (Time, Integer) const
Detailed Description
compoundforward 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 hardcoded 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
Generated automatically by Doxygen for QuantLib from the source code.