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QuantLib::CompoundForward Class Reference

#include <compoundforward.hpp>

Inheritance diagram for QuantLib::CompoundForward:

QuantLib::ForwardRateStructure QuantLib::YieldTermStructure QuantLib::TermStructure QuantLib::Extrapolator QuantLib::Observer QuantLib::Observable

List of all members.

Detailed Description

compound-forward structure

Test:
  • 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.

Definition at line 45 of file compoundforward.hpp.


Public Member Functions

BusinessDayConvention businessDayConvention () const
Calendar calendar () const
 the calendar used for reference date calculation
Rate compoundForward (Time t1, Integer f, bool extrapolate=false) const
Rate compoundForward (const Date &d1, Integer f, bool extrapolate=false) const
 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)
Integer compounding () const
const std::vector< Date > & dates () const
DayCounter dayCounter () const
 the day counter used for date/time conversion
boost::shared_ptr
< ExtendedDiscountCurve > 		discountCurve () const
const std::vector< Rate > & forwards () const
Date maxDate () const
 the latest date for which the curve can return rates
Time maxTime () const
 the latest time for which the curve can return rates
void notifyObservers ()
template<class T>
void registerWith (const boost::shared_ptr< T > &h)
const std::vector< Time > & times () const
template<class T>
void unregisterWith (const boost::shared_ptr< T > &h)
inspectors
bool allowsExtrapolation () const
 tells whether extrapolation is enabled
modifiers
void disableExtrapolation ()
 disable extrapolation in subsequent calls
void enableExtrapolation ()
 enable extrapolation in subsequent calls
discount factors
These methods return the discount factor for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

DiscountFactor discount (Time, bool extrapolate=false) const
DiscountFactor discount (const Date &, bool extrapolate=false) const
forward rates
These methods returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date.

InterestRate forwardRate (Time t1, Time t2, 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
par rates
These methods returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.

Warning:
though somewhat related to a swap rate, this method is not to be used for the fair rate of a real swap, since it does not take into account all the market conventions' details. The correct way to evaluate such rate is to instantiate a SimpleSwap with the correct conventions, pass it the term structure and call the swap's fairRate() method.


Rate parRate (Year tenor, Time t0, Frequency freq=Annual, bool extrapolate=false) const
Rate parRate (const std::vector< Time > &times, Frequency freq=Annual, bool extrapolate=false) const
Rate parRate (const std::vector< Date > &dates, Frequency freq=Annual, bool extrapolate=false) const
Rate parRate (Integer tenor, const Date &startDate, Frequency freq=Annual, bool extrapolate=false) const
Dates
virtual const Date & referenceDate () const
 the reference date, i.e., the date at which discount = 1
Observer interface
void update ()
zero-yield rates
These methods return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

InterestRate zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
InterestRate zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

Protected Member Functions

boost::shared_ptr
< YieldTermStructure > 		bootstrap () const
void calibrateNodes () const
Rate compoundForwardImpl (Time, Integer) const
DiscountFactor discountImpl (Time) const
Rate forwardImpl (Time) const
 instantaneous forward-rate calculation
Size referenceNode (Time) const
Time timeFromReference (const Date &date) const
 date/time conversion
Rate zeroYieldImpl (Time) const

Private Attributes

Calendar calendar_
Integer compounding_
BusinessDayConvention conv_
std::vector< Date > dates_
DayCounter dayCounter_
boost::shared_ptr
< ExtendedDiscountCurve > 		discountCurve_
std::vector< Rate > forwards_
Interpolation fwdinterp_
bool needsBootstrap_
std::vector< Time > times_
The documentation for this class was generated from the following files:
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