Forward-rate term structure More...
#include <ql/termstructures/yield/forwardstructure.hpp>
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
ForwardRateStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
ForwardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
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YieldTermStructure (const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
DiscountFactor | discount (const Date &d, bool extrapolate=false) const |
DiscountFactor | discount (Time t, bool extrapolate=false) const |
InterestRate | zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
const std::vector< Date > & | jumpDates () const |
const std::vector< Time > & | jumpTimes () const |
void | update () |
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TermStructure (const DayCounter &dc=DayCounter()) | |
default constructor More... | |
TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
virtual DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Time | timeFromReference (const Date &date) const |
date/time conversion | |
virtual Date | maxDate () const =0 |
the latest date for which the curve can return values | |
virtual Time | maxTime () const |
the latest time for which the curve can return values | |
virtual const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
virtual Calendar | calendar () const |
the calendar used for reference and/or option date calculation | |
virtual Natural | settlementDays () const |
the settlementDays used for reference date calculation | |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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void | enableExtrapolation (bool b=true) |
enable extrapolation in subsequent calls | |
void | disableExtrapolation (bool b=true) |
disable extrapolation in subsequent calls | |
bool | allowsExtrapolation () const |
tells whether extrapolation is enabled | |
Protected Member Functions | |
Calculations | |
These methods must be implemented in derived classes to perform the actual calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
virtual Rate | forwardImpl (Time) const =0 |
instantaneous forward-rate calculation | |
virtual Rate | zeroYieldImpl (Time) const |
YieldTermStructure implementation | |
DiscountFactor | discountImpl (Time) const |
Calculations | |
This method must be implemented in derived classes to perform the actual calculations. When it is called, range check has already been performed; therefore, it must assume that extrapolation is required. | |
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void | checkRange (const Date &d, bool extrapolate) const |
date-range check | |
void | checkRange (Time t, bool extrapolate) const |
time-range check | |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
Forward-rate term structure
This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the forwardImpl(Time)
method in derived classes.
Zero yields and discounts are calculated from forwards.
Forward rates are assumed to be annual continuous compounding.
Returns the zero yield rate for the given date calculating it from the instantaneous forward rate \( f(t) \) as
\[ z(t) = \int_0^t f(\tau) d\tau \]
Reimplemented in InterpolatedForwardCurve< Interpolator >, and ForwardSpreadedTermStructure.
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protectedvirtual |
Returns the discount factor for the given date calculating it from the zero rate as \( d(t) = \exp \left( -z(t) t \right) \)
Implements YieldTermStructure.