- 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
Reimplemented from ForwardRateStructure.