QuantLib 0.3.7 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

ForwardRateStructure Class Reference [Term structures] #include <ql/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 continuous compounding. Protected Member Functions Rate  zeroYieldImpl (Time) const DiscountFactor  discountImpl (Time) const Rate  compoundForwardImpl (Time, Integer) const Member Function Documentation Rate zeroYieldImpl (  Time   )  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 CompoundForward, and ForwardSpreadedTermStructure. DiscountFactor discountImpl (  Time   )  const [protected, virtual]   Returns the discount factor for the given date calculating it from the instantaneous forward rate. Implements TermStructure. Reimplemented in CompoundForward. Rate compoundForwardImpl (  Time  , Integer  )  const [protected, virtual]   Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield. Implements TermStructure. Reimplemented in CompoundForward.

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