zeroYieldImpl (3) - Linux Man Pages
zeroYieldImpl: compound-forward structure
QuantLib::CompoundForward - compound-forward structure
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
- 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.
- 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.
- This is just a default, highly inefficient and possibly wildly inaccurate implementation. Derived classes should implement their own zeroYield method.
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.
Generated automatically by Doxygen for QuantLib from the source code.