CompoundForward Class Reference#include <ql/TermStructures/compoundforward.hpp>
Inheritance diagram for CompoundForward:
[legend]List of all members.
Detailed Description
compound-forward structure
- Tests:
- the correctness of the curve is tested by reproducing the input data.
- the correctness of the curve is tested by checking the consistency between returned rates and swaps priced on the curve.
- Bug:
- swap rates are not reproduced exactly when using indexed coupons. Apparently, some assumption about the swap fixings is hard-coded into the bootstrapping algorithm.
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Public Member Functions |
| CompoundForward (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) |
Calendar | calendar () const |
| the calendar used for reference date calculation
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BusinessDayConvention | businessDayConvention () const |
DayCounter | dayCounter () const |
| the day counter used for date/time conversion
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Integer | compounding () const |
Date | maxDate () const |
| the latest date for which the curve can return rates
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Time | maxTime () const |
| the latest time for which the curve can return rates
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const std::vector< Time > & | times () const |
const std::vector< Date > & | dates () const |
const std::vector< Rate > & | forwards () const |
boost::shared_ptr< ExtendedDiscountCurve > | discountCurve () const |
Rate | compoundForward (const Date &d1, Integer f, bool extrapolate=false) const |
Rate | compoundForward (Time t1, Integer f, bool extrapolate=false) const |
Protected Member Functions |
void | calibrateNodes () const |
boost::shared_ptr< YieldTermStructure > | bootstrap () const |
Rate | zeroYieldImpl (Time) const |
DiscountFactor | discountImpl (Time) const |
Size | referenceNode (Time) const |
Rate | forwardImpl (Time) const |
| instantaneous forward-rate calculation
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Rate | compoundForwardImpl (Time, Integer) const |
Member Function Documentation
Rate zeroYieldImpl |
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Time |
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const [protected, virtual] |
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Returns the zero yield rate for the given date calculating it from the instantaneous forward rate.
- Warning:
- This is just a default, highly inefficient and possibly wildly inaccurate implementation. Derived classes should implement their own zeroYield method.
Reimplemented from ForwardRateStructure. |
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Returns the discount factor for the given date calculating it from the instantaneous forward rate.
Reimplemented from ForwardRateStructure. |
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