ForwardRateStructure Class Reference

Forward-rate term structure More...

#include <ql/termstructures/yield/forwardstructure.hpp>

Inheritance diagram for ForwardRateStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	ForwardRateStructure (const DayCounter &dayCounter=DayCounter())
	ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
	ForwardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
Public Member Functions inherited from YieldTermStructure
	YieldTermStructure (const DayCounter &dc=DayCounter())
	YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
	YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
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 () override
Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, Calendar, 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
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
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 override
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

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.

Member Function Documentation

forwardImpl()

virtual Rate forwardImpl ( Time ) const

protectedpure virtual

instantaneous forward-rate calculation

Implemented in ForwardSpreadedTermStructure, InterpolatedForwardCurve< Interpolator >, InterpolatedForwardCurve< BackwardFlat >, and InterpolatedPiecewiseForwardSpreadedTermStructure< Interpolator >.

zeroYieldImpl()

virtual Rate zeroYieldImpl ( Time ) const

protectedvirtual

Returns the zero yield rate for the given date calculating it from the instantaneous forward rate \( f(t) \) as

\[z(t) = \int_0^t f(\tau) d\tau \]

Warning

This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.

Reimplemented in ForwardSpreadedTermStructure, InterpolatedForwardCurve< Interpolator >, InterpolatedForwardCurve< BackwardFlat >, and InterpolatedPiecewiseForwardSpreadedTermStructure< Interpolator >.

discountImpl()

DiscountFactor discountImpl ( Time t ) const

overrideprotectedvirtual

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.