- QuantLib
- InterpolatedForwardCurve
YieldTermStructure based on interpolation of forward rates. More...
#include <ql/termstructures/yield/forwardcurve.hpp>
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=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &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 |
the latest date for which the curve can return values | |
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 |
Protected Member Functions | |
InterpolatedForwardCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
InterpolatedForwardCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
ForwardRateStructure implementation | |
Rate | forwardImpl (Time t) const |
instantaneous forward-rate calculation | |
Rate | zeroYieldImpl (Time t) const |
Protected Attributes | |
std::vector< Date > | dates_ |
YieldTermStructure based on interpolation of forward rates.
Rate zeroYieldImpl | ( | Time | ) | const [protected, virtual] |
Returns the zero yield rate for the given date calculating it from the instantaneous forward rate as
Reimplemented from ForwardRateStructure.