InterpolatedForwardCurve Class Template Reference
[Term structures]
#include <ql/TermStructures/forwardcurve.hpp>
Inheritance diagram for InterpolatedForwardCurve:

Detailed Description
template<class Interpolator>
class QuantLib::InterpolatedForwardCurve< Interpolator >
Term structure based on interpolation of forward rates.
Inspectors | |
| DayCounter | dayCounter_ |
| std::vector< Date > | dates_ |
| std::vector< Time > | times_ |
| std::vector< Rate > | data_ |
| Interpolation | interpolation_ |
| Interpolator | interpolator_ |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
| Time | maxTime () const |
| the latest time for which the curve can return values | |
| const std::vector< Time > & | times () const |
| const std::vector< Date > & | dates () const |
| const std::vector< Rate > & | forwards () const |
|
std::vector< std::pair< Date, Rate > > | nodes () const |
| InterpolatedForwardCurve (const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
| InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
| InterpolatedForwardCurve (Integer settlementDays, const Calendar &, const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
| Rate | forwardImpl (Time t) const |
| instantaneous forward-rate calculation | |
| Rate | zeroYieldImpl (Time t) const |
Public Member Functions | |
| InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator()) | |
Member Function Documentation
| Rate zeroYieldImpl | ( | Time | t | ) | 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 and possibly wildly inaccurate implementation. Derived classes should implement their own zeroYield method.
Reimplemented from ForwardRateStructure.