PiecewiseFlatForward Class Reference
[Term structures]

#include <ql/TermStructures/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< boost::shared_ptr< RateHelper > > &instruments, const DayCounter &dayCounter, Real 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
 the day counter used for date/time conversion

Date todaysDate () const
 today's date

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

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

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


Protected Member Functions

Rate zeroYieldImpl (Time) const
 zero-yield calculation

DiscountFactor discountImpl (Time) const
 discount calculation

Rate forwardImpl (Time) const
 instantaneous forward-rate calculation

Rate compoundForwardImpl (Time t, Integer compFreq) const
 compound forward-rate calculation


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 $t = 0$.


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