- QuantLib
- InterpolatedForwardCurve
 
YieldTermStructure based on interpolation of forward rates. More...
#include <ql/termstructures/yield/forwardcurve.hpp>

| Public Member Functions | |
| InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
| InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator) | |
| InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator) | |
| TermStructure interface | |
| Date | maxDate () const | 
| the latest date for which the curve can return values | |
| other inspectors | |
| const std::vector< Time > & | times () const | 
| const std::vector< Date > & | dates () const | 
| const std::vector< Real > & | data () const | 
| const std::vector< Rate > & | forwards () const | 
| std::vector< std::pair< Date, Real > > | nodes () const | 
| Protected Member Functions | |
| InterpolatedForwardCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
| InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
| InterpolatedForwardCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
| ForwardRateStructure implementation | |
| Rate | forwardImpl (Time t) const | 
| instantaneous forward-rate calculation | |
| Rate | zeroYieldImpl (Time t) const | 
| Protected Attributes | |
| std::vector< Date > | dates_ | 
YieldTermStructure based on interpolation of forward rates.
| 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.