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fully annotated source code - version 1.34
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ForwardRateStructure Class Referenceabstract

Forward-rate term structure More...

#include <forwardstructure.hpp>

+ Inheritance diagram for ForwardRateStructure:
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Public Member Functions

Constructors

See the TermStructure documentation for issues regarding constructors.

 ForwardRateStructure (const DayCounter &dayCounter=DayCounter())
 
 ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
 
 ForwardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
 
- Public Member Functions inherited from YieldTermStructure
 YieldTermStructure (const DayCounter &dc=DayCounter())
 
 YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
 
 YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
 
DiscountFactor discount (const Date &d, bool extrapolate=false) const
 
DiscountFactor discount (Time t, bool extrapolate=false) const
 
InterestRate zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
InterestRate zeroRate (Time t, 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
 
InterestRate forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
InterestRate forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
const std::vector< Date > & jumpDates () const
 
const std::vector< Time > & jumpTimes () const
 
void update () override
 
- Public Member Functions inherited from TermStructure
 TermStructure (DayCounter dc=DayCounter())
 default constructor More...
 
 TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
 initialize with a fixed reference date More...
 
 TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~TermStructure () override=default
 
virtual DayCounter dayCounter () const
 the day counter used for date/time conversion More...
 
Time timeFromReference (const Date &date) const
 date/time conversion More...
 
virtual Date maxDate () const =0
 the latest date for which the curve can return values More...
 
virtual Time maxTime () const
 the latest time for which the curve can return values More...
 
virtual const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0 More...
 
virtual Calendar calendar () const
 the calendar used for reference and/or option date calculation More...
 
virtual Natural settlementDays () const
 the settlementDays used for reference date calculation More...
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Extrapolator
 Extrapolator ()=default
 
virtual ~Extrapolator ()=default
 
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls More...
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls More...
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled More...
 

Protected Member Functions

Calculations

These methods must be implemented in derived classes to perform the actual calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

virtual Rate forwardImpl (Time) const =0
 instantaneous forward-rate calculation More...
 
virtual Rate zeroYieldImpl (Time) const
 
YieldTermStructure implementation
DiscountFactor discountImpl (Time) const override
 
- Protected Member Functions inherited from YieldTermStructure
- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check More...
 
void checkRange (Time t, bool extrapolate) const
 time-range check More...
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 

Detailed Description

Forward-rate term structure

This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the forwardImpl(Time) method in derived classes.

Zero yields and discounts are calculated from forwards.

Forward rates are assumed to be annual continuous compounding.

Definition at line 44 of file forwardstructure.hpp.

Constructor & Destructor Documentation

◆ ForwardRateStructure() [1/3]

ForwardRateStructure ( const DayCounter dayCounter = DayCounter())
explicit

Definition at line 26 of file forwardstructure.cpp.

◆ ForwardRateStructure() [2/3]

ForwardRateStructure ( const Date referenceDate,
const Calendar cal = Calendar(),
const DayCounter dayCounter = DayCounter(),
const std::vector< Handle< Quote > > &  jumps = {},
const std::vector< Date > &  jumpDates = {} 
)
explicit

Definition at line 29 of file forwardstructure.cpp.

◆ ForwardRateStructure() [3/3]

ForwardRateStructure ( Natural  settlementDays,
const Calendar cal,
const DayCounter dayCounter = DayCounter(),
const std::vector< Handle< Quote > > &  jumps = {},
const std::vector< Date > &  jumpDates = {} 
)

Definition at line 37 of file forwardstructure.cpp.

Member Function Documentation

◆ forwardImpl()

virtual Rate forwardImpl ( Time  ) const
protectedpure virtual

instantaneous forward-rate calculation

Implemented in InterpolatedForwardCurve< Interpolator >, and ForwardSpreadedTermStructure.

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◆ zeroYieldImpl()

Rate zeroYieldImpl ( Time  t) const
protectedvirtual

Returns the zero yield rate for the given date calculating it from the instantaneous forward rate \( f(t) \) as

\[ z(t) = \int_0^t f(\tau) d\tau \]

Warning:
This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.

Reimplemented in InterpolatedForwardCurve< Interpolator >, and ForwardSpreadedTermStructure.

Definition at line 45 of file forwardstructure.cpp.

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◆ discountImpl()

DiscountFactor discountImpl ( Time  t) const
overrideprotectedvirtual

Returns the discount factor for the given date calculating it from the zero rate as \( d(t) = \exp \left( -z(t) t \right) \)

Implements YieldTermStructure.

Definition at line 103 of file forwardstructure.hpp.

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