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

ForwardSpreadedTermStructure Class Reference [Term structures] #include <ql/TermStructures/forwardspreadedtermstructure.hpp> Inheritance diagram for ForwardSpreadedTermStructure: [legend]List of all members. Detailed Description Term structure with added spread on the instantaneous forward rate. Note: This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well. Tests: a) the correctness of the returned values is tested by checking them against numerical calculations. b) observability against changes in the underlying term structure and in the added spread is checked. Public Member Functions   ForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread) YieldTermStructure interface DayCounter  dayCounter () const   the day counter used for date/time conversion Calendar  calendar () const   the calendar used for reference date calculation const Date &  todaysDate () const   today's date const Date &  referenceDate () const   the reference date, i.e., the date at which discount = 1 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 Protected Member Functions Rate  forwardImpl (Time) const   returns the spreaded forward rate Rate  zeroYieldImpl (Time) const   returns the spreaded zero yield rate Member Function Documentation const Date & todaysDate (   )  const [virtual]   today's date Deprecated: use Settings::instance().evaluationDate(). Reimplemented from BaseTermStructure. Rate zeroYieldImpl (  Time   )  const [protected, virtual]   returns the spreaded zero yield rate Warning: This method must disappear should the spread become a curve Reimplemented from ForwardRateStructure.

---

QuantLib.org

Hosted by

Documentation generated by