ForwardSpreadedTermStructure Class Reference

Term structure with added spread on the instantaneous forward rate. More...

#include <ql/termstructures/yield/forwardspreadedtermstructure.hpp>

Inheritance diagram for ForwardSpreadedTermStructure:

List of all members.

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 DatereferenceDate () 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

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:
  • the correctness of the returned values is tested by checking them against numerical calculations.
  • observability against changes in the underlying term structure and in the added spread is checked.

Member Function Documentation

Rate zeroYieldImpl ( Time  ) const [protected, virtual]

Returns the zero yield rate for the given date calculating it from the instantaneous forward rate $ f(t) $ as

\[ z(t) = \int_0^t f(\tau) d\tau \]

Warning:
This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.

Reimplemented from ForwardRateStructure.