QuantLib 0.3.8 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Configuration Usage Frequently asked questions Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

ForwardRateStructure Class Reference [Term structures] #include <ql/TermStructures/forwardstructure.hpp> Inheritance diagram for ForwardRateStructure: [legend]List of all members. Detailed Description Forward rate term structure. This abstract class acts as an adapter to TermStructure allowing the programmer to implement only the forwardImpl(const Date&, bool) method in derived classes. Zero yields and discounts are calculated from forwards. Rates are assumed to be annual continuous compounding. Public Member Functions Constructors See the BaseTermStructure documentation for issues regarding constructors.   ForwardRateStructure (const Date &todaysDate, const Date &referenceDate)   ForwardRateStructure ()   ForwardRateStructure (const Date &referenceDate)   ForwardRateStructure (Integer settlementDays, const Calendar &) Protected Member Functions YieldTermStructure implementation DiscountFactor  discountImpl (Time) const virtual Rate  forwardImpl (Time) const =0   instantaneous forward-rate calculation virtual Rate  zeroYieldImpl (Time) const Rate  compoundForwardImpl (Time, Integer) const Constructor & Destructor Documentation ForwardRateStructure (  const Date &  todaysDate, const Date &  referenceDate )    Deprecated: use the constructor without today's date; set the evaluation date through Settings::instance(). Member Function Documentation DiscountFactor discountImpl (  Time   )  const [protected, virtual]   Returns the discount factor for the given date calculating it from the instantaneous forward rate. Implements YieldTermStructure. Reimplemented in CompoundForward. Rate zeroYieldImpl (  Time   )  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. Implements YieldTermStructure. Reimplemented in CompoundForward, and ForwardSpreadedTermStructure. Rate compoundForwardImpl (  Time  , Integer  )  const [protected, virtual]   Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield. Implements YieldTermStructure. Reimplemented in CompoundForward.

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