QuantLib_CompoundForward (3) - Linux Manuals

QuantLib_CompoundForward: compound-forward structure

Command to display QuantLib_CompoundForward manual in Linux: $ man 3 QuantLib_CompoundForward

NAME

QuantLib::CompoundForward - compound-forward structure

SYNOPSIS

#include <ql/legacy/termstructures/compoundforward.hpp>

Inherits QuantLib::ForwardRateStructure.

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)

BusinessDayConvention businessDayConvention () const

Integer compounding () const

Date maxDate () const
the latest date 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

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
Rate compoundForwardImpl (Time, Integer) const

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.

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.

DiscountFactor discountImpl (Time t) const [protected, virtual]

Returns the discount factor for the given date calculating it from the instantaneous forward rate.