CompoundForward Class Reference

#include <ql/TermStructures/compoundforward.hpp>

Inheritance diagram for CompoundForward:

Inheritance graph
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List of all members.

Detailed Description

Tests:
a) the correctness of the curve is tested by reproducing the input data.

b) the correctness of the curve is tested by checking the consistency between returned rates and swaps priced on the curve.


Public Member Functions

 CompoundForward (const Date &todaysDate, const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter)
Date todaysDate () const
 today's date

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

Calendar calendar () const
BusinessDayConvention roll () const
BusinessDayConvention businessDayConvention () const
DayCounter dayCounter () const
 the day counter used for date/time conversion

Integer compounding () const
Date maxDate () const
 the latest date for which the curve can return rates

Time maxTime () const
 the latest time for which the curve can return rates

const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< Rate > & forwards () const
boost::shared_ptr< TermStructurediscountCurve () const
Observer interface
void update ()

Protected Member Functions

void calibrateNodes () const
boost::shared_ptr< TermStructurebootstrap () const
Rate zeroYieldImpl (Time) const
DiscountFactor discountImpl (Time) const
Size referenceNode (Time) const
Rate forwardImpl (Time) const
 instantaneous forward-rate calculation

Rate compoundForwardImpl (Time, Integer) const


Member Function Documentation

BusinessDayConvention roll  )  const
 

Deprecated:
use businessDayConvention() instead

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

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.

Reimplemented from ForwardRateStructure.

DiscountFactor discountImpl Time   )  const [protected, virtual]
 

Returns the discount factor for the given date calculating it from the instantaneous forward rate.

Reimplemented from ForwardRateStructure.

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.

Reimplemented from ForwardRateStructure.


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