PiecewiseFlatForward Class Reference#include <piecewiseflatforward.hpp>
Inheritance diagram for PiecewiseFlatForward:
[legend]List of all members.
Detailed Description
Piecewise flat forward term structure.
This term structure is bootstrapped on a number of interest rate instruments which are passed as a vector of handles to RateHelper instances. Their maturities mark the boundaries of the flat forward segments.
The values of the forward rates for each segment are determined sequentially starting from the earliest period to the latest.
The value for each segment is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve.
Rates are assumed to be annual continuos compounding.
- Warning:
- The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.
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Public Member Functions |
| PiecewiseFlatForward (const Date &todaysDate, const Date &referenceDate, const std::vector< Handle< RateHelper > > &instruments, const DayCounter &dayCounter, double accuracy=1.0e-12) |
| PiecewiseFlatForward (const Date &todaysDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter) |
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DayCounter | dayCounter () const |
| returns the day counter
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Date | todaysDate () const |
| returns today's date
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Date | referenceDate () const |
| returns the reference date, i.e., the date at which discount = 1
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const std::vector< Date > & | dates () const |
Date | maxDate () const |
| returns the latest date for which the curve can return rates
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const std::vector< Time > & | times () const |
Time | maxTime () const |
| returns the latest date for which the curve can return rates
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Protected Member Functions |
Rate | zeroYieldImpl (Time, bool extrapolate=false) const |
| implements the actual zero yield calculation in derived classes
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DiscountFactor | discountImpl (Time, bool extrapolate=false) const |
| implements the actual discount calculation in derived classes
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Rate | forwardImpl (Time, bool extrapolate=false) const |
| implements the actual forward rate calculation in derived classes
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Rate | compoundForwardImpl (Time t, int compFreq, bool extrapolate) const |
| implements the actual compound forward rate calculation in derived classes
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Friends |
class | FFObjFunction |
Constructor & Destructor Documentation
The documentation for this class was generated from the following files:
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