QuantLib 0.3.7
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Reference manual
TermStructure Class Reference
[Term structures]
#include <ql/termstructure.hpp>
Inheritance diagram for TermStructure:
Detailed Description
Interest-rate term structure.This abstract class defines the interface of concrete rate structures which will be derived from this one.
Rates are assumed to be annual continuous compounding.
- Todo:
- add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure
allow for different compounding rules and compounding frequencies
Public Member Functions | |
Rates and discount | |
These methods are either function of dates or times. In the latter case, times are calculated as fraction of year from the reference date. | |
| Rate | zeroYield (const Date &, bool extrapolate=false) const |
| zero-yield rate | |
| Rate | zeroYield (Time, bool extrapolate=false) const |
| zero-yield rate | |
| DiscountFactor | discount (const Date &, bool extrapolate=false) const |
| discount factor | |
| DiscountFactor | discount (Time, bool extrapolate=false) const |
| discount factor | |
| Rate | instantaneousForward (const Date &, bool extrapolate=false) const |
| instantaneous forward rate | |
| Rate | instantaneousForward (Time, bool extrapolate=false) const |
| instantaneous forward rate | |
| Rate | compoundForward (const Date &, Integer, bool extrapolate=false) const |
| instantaneous forward rate at a given compounding frequency | |
| Rate | compoundForward (Time, Integer, bool extrapolate=false) const |
| instantaneous forward rate at a given compounding frequency | |
| Rate | forward (const Date &, const Date &, bool extrapolate=false) const |
| discrete forward rate between two dates | |
| Rate | forward (Time, Time, bool extrapolate=false) const |
| discrete forward rate between two times | |
| Rate | zeroCoupon (const Date &, Integer, bool extrapolate=false) const |
| zero-coupon rate | |
| Rate | zeroCoupon (Time, Integer, bool extrapolate=false) const |
| zero-coupon rate | |
Dates | |
| virtual Date | todaysDate () const =0 |
| today's date | |
| virtual Date | referenceDate () const =0 |
| the reference date, i.e., the date at which discount = 1 | |
| virtual DayCounter | dayCounter () const =0 |
| the day counter used for date/time conversion | |
| virtual Date | maxDate () const =0 |
| the latest date for which the curve can return rates | |
| virtual Time | maxTime () const |
| the latest time for which the curve can return rates | |
Protected Member Functions | |
Calculations | |
These methods must be implemented in derived classes to perform the actual discount and rate calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
| virtual Rate | zeroYieldImpl (Time) const =0 |
| zero-yield calculation | |
| virtual DiscountFactor | discountImpl (Time) const =0 |
| discount calculation | |
| virtual Rate | forwardImpl (Time) const =0 |
| instantaneous forward-rate calculation | |
| virtual Rate | compoundForwardImpl (Time, Integer) const =0 |
| compound forward-rate calculation | |
