InterpolatedForwardCurve< Interpolator > Class Template Reference

YieldTermStructure based on interpolation of forward rates. More...

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

Inheritance diagram for InterpolatedForwardCurve< Interpolator >:

Public Member Functions
	InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})
	InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)
	InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator)
TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values
Public Member Functions inherited from ForwardRateStructure
	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 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

ForwardRateStructure implementation
std::vector< Date >	dates_
Rate	forwardImpl (Time t) const override
	instantaneous forward-rate calculation
Rate	zeroYieldImpl (Time t) const override

other inspectors
const std::vector< Time > &	times () const
const std::vector< Date > &	dates () const
const std::vector< Real > &	data () const
const std::vector< Rate > &	forwards () const
std::vector< std::pair< Date, Real > >	nodes () const
	InterpolatedForwardCurve (const DayCounter &, const Interpolator &interpolator={})
	InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})
	InterpolatedForwardCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from ForwardRateStructure
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
Protected Member Functions inherited from InterpolatedCurve< Interpolator >
	InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())
	InterpolatedCurve (std::vector< Time > times, const Interpolator &i=Interpolator())
	InterpolatedCurve (Size n, const Interpolator &i=Interpolator())
	InterpolatedCurve (const Interpolator &i=Interpolator())
	InterpolatedCurve (const InterpolatedCurve &c)
InterpolatedCurve &	operator= (const InterpolatedCurve &c)
	InterpolatedCurve (InterpolatedCurve &&c) noexcept
InterpolatedCurve &	operator= (InterpolatedCurve &&c) noexcept
void	setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)
void	setupInterpolation ()
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_
std::vector< Time >	times_
std::vector< Real >	data_
Interpolation	interpolation_
Interpolator	interpolator_
Date	maxDate_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedForwardCurve< Interpolator >

YieldTermStructure based on interpolation of forward rates.

Member Function Documentation

maxDate()

template<class T>

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

forwardImpl()

template<class Interpolator>

Rate forwardImpl ( Time ) const

overrideprotectedvirtual

instantaneous forward-rate calculation

Implements ForwardRateStructure.

zeroYieldImpl()

template<class Interpolator>

Rate zeroYieldImpl ( Time ) const

overrideprotectedvirtual

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 from ForwardRateStructure.