- QuantLib
- ForwardSpreadedTermStructure
 
Term structure with added spread on the instantaneous forward rate. More...
#include <ql/termstructures/yield/forwardspreadedtermstructure.hpp>

| Public Member Functions | |
| ForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread) | |
| TermStructure interface | |
| DayCounter | dayCounter () const | 
| the day counter used for date/time conversion | |
| Date | maxDate () const | 
| the latest date for which the curve can return values | |
| Time | maxTime () const | 
| the latest time for which the curve can return values | |
| const Date & | referenceDate () const | 
| the date at which discount = 1.0 and/or variance = 0.0 | |
| Calendar | calendar () const | 
| the calendar used for reference and/or option date calculation | |
| Natural | settlementDays () const | 
| the settlementDays used for reference date calculation | |
| Protected Member Functions | |
| ForwardRateStructure implementation | |
| Rate | forwardImpl (Time t) const | 
| instantaneous forward-rate calculation | |
| Rate | zeroYieldImpl (Time t) const | 
Term structure with added spread on the instantaneous forward rate.
| Rate zeroYieldImpl | ( | Time | ) | const  [protected, virtual] | 
Returns the zero yield rate for the given date calculating it from the instantaneous forward rate  as
 as 
![\[ z(t) = \int_0^t f(\tau) d\tau \]](form_394.png) 
Reimplemented from ForwardRateStructure.