PiecewiseFlatForward Class Reference

#include <piecewiseflatforward.hpp>

Inheritance diagram for PiecewiseFlatForward:

Inheritance graph
[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.


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)
TermStructure interface
DayCounter dayCounter () const
 returns the day counter

Date todaysDate () const
 returns today's date

Date referenceDate () const
 returns the reference date, i.e., the date at which discount = 1

const std::vector< Date > & dates () const
Date maxDate () const
 returns the latest date for which the curve can return rates

const std::vector< Time > & times () const
Time maxTime () const
 returns the latest date for which the curve can return rates


Protected Member Functions

Rate zeroYieldImpl (Time, bool extrapolate=false) const
 implements the actual zero yield calculation in derived classes

DiscountFactor discountImpl (Time, bool extrapolate=false) const
 implements the actual discount calculation in derived classes

Rate forwardImpl (Time, bool extrapolate=false) const
 implements the actual forward rate calculation in derived classes

Rate compoundForwardImpl (Time t, int compFreq, bool extrapolate) const
 implements the actual compound forward rate calculation in derived classes


Friends

class FFObjFunction


Constructor & Destructor Documentation

PiecewiseFlatForward const Date todaysDate,
const std::vector< Date > &  dates,
const std::vector< Rate > &  forwards,
const DayCounter dayCounter
 

In this constructor, the first date must be the reference date of the curve, the other dates are the nodes of the term structure. The forward rate at index $i$ is used in the period $t_{i-1} < t \le t_i$. Therefore, forwards[0] is used only to compute the zero yield for $t = 0$.


The documentation for this class was generated from the following files:

QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen