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QuantLib::FlatForward Class Reference

#include <flatforward.hpp>

Inheritance diagram for QuantLib::FlatForward:

QuantLib::YieldTermStructure QuantLib::LazyObject QuantLib::TermStructure QuantLib::Observable QuantLib::Observer QuantLib::Observer QuantLib::Observable QuantLib::Extrapolator

List of all members.


Detailed Description

Flat interest-rate curve.

Definition at line 36 of file flatforward.hpp.


Calculations

These methods do not modify the structure of the object and are therefore declared as const. Data members which will be calculated on demand need to be declared as mutable.

void freeze ()
void recalculate ()
void unfreeze ()
virtual void calculate () const

Public Member Functions

Compounding compounding () const
Frequency compoundingFrequency () const
 FlatForward (Natural settlementDays, const Calendar &calendar, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)
 FlatForward (Natural settlementDays, const Calendar &calendar, const Handle< Quote > &forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)
 FlatForward (const Date &referenceDate, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)
 FlatForward (const Date &referenceDate, const Handle< Quote > &forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)
Date maxDate () const
 the latest date for which the curve can return values
void notifyObservers ()
virtual void performCalculations () const
void registerWith (const boost::shared_ptr< Observable > &)
void unregisterWith (const boost::shared_ptr< Observable > &)
void update ()
inspectors
bool allowsExtrapolation () const
 tells whether extrapolation is enabled
Dates
virtual Calendar calendar () const
 the calendar used for reference and/or option date calculation
virtual DayCounter dayCounter () const
 the day counter used for date/time conversion
virtual Time maxTime () const
 the latest time for which the curve can return values
virtual const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0
virtual Natural settlementDays () const
 the settlementDays used for reference date calculation
modifiers
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls
void enableExtrapolation (bool b=true)
 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 &d, const Period &p, const DayCounter &resultDayCounter, 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 (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
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

void checkRange (Time t, bool extrapolate) const
 time-range check
void checkRange (const Date &, bool extrapolate) const
 date-range check
Time timeFromReference (const Date &date) const
 date/time conversion

Protected Attributes

bool calculated_
Calendar calendar_
bool frozen_
bool moving_

Private Member Functions

DiscountFactor discountImpl (Time) const
 discount calculation

Private Attributes

Compounding compounding_
Handle< Quoteforward_
Frequency frequency_
InterestRate rate_

The documentation for this class was generated from the following file:

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