ForwardRateStructure Class Reference
[Term structures]

#include <ql/termstructure.hpp>

Inheritance diagram for ForwardRateStructure:

Inheritance graph
[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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