- 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.