ForwardRateStructure Class Reference#include <termstructure.hpp>
Inheritance diagram for ForwardRateStructure:
[legend]List of all members.
Detailed Description
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.
Rates are assumed to be annual continuos compounding.
Member Function Documentation
Rate zeroYieldImpl |
( |
Time |
, |
|
|
bool |
extrapolate = false |
|
) |
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 implementation. Derived classes should implement their own zeroYield method.
Implements TermStructure.
Reimplemented in ForwardSpreadedTermStructure. |
DiscountFactor discountImpl |
( |
Time |
, |
|
|
bool |
extrapolate = false |
|
) |
const [protected, virtual] |
|
|
Returns the discount factor for the given date calculating it from the instantaneous forward rate.
Implements TermStructure. |
Rate compoundForwardImpl |
( |
Time |
, |
|
|
int |
, |
|
|
bool |
extrapolate = false |
|
) |
const [protected, virtual] |
|
|
Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.
Implements TermStructure. |
The documentation for this class was generated from the following file:
|