ForwardRateStructure Class Reference

#include <termstructure.hpp>

Inheritance diagram for ForwardRateStructure:

Inheritance graph
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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.


Protected Member Functions

Rate zeroYieldImpl (Time, bool extrapolate=false) const
DiscountFactor discountImpl (Time, bool extrapolate=false) const
Rate compoundForwardImpl (Time, int, bool extrapolate=false) const


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:

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