FlatForward Class Reference

Flat interest-rate curve. More...

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

Inheritance diagram for FlatForward:

Public Member Functions
Constructors
	FlatForward (const Date &referenceDate, const Handle< Quote > &forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)
	FlatForward (const Date &referenceDate, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)
	FlatForward (Natural settlementDays, const Calendar &calendar, const Handle< Quote > &forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)
	FlatForward (Natural settlementDays, const Calendar &calendar, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual)
Compounding	compounding () const
Frequency	compoundingFrequency () const
TermStructure interface
Date	maxDate () const
	the latest date for which the curve can return values
Observer interface
void	update ()
Public Member Functions inherited from YieldTermStructure
	YieldTermStructure (const DayCounter &dc=DayCounter())
	YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
	YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
QL_DEPRECATED	YieldTermStructure (const DayCounter &dc, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >())
DiscountFactor	discount (const Date &d, bool extrapolate=false) const
DiscountFactor	discount (Time t, bool extrapolate=false) const
InterestRate	zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
InterestRate	zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
InterestRate	forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
InterestRate	forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
InterestRate	forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
const std::vector< Date > &	jumpDates () const
const std::vector< Time > &	jumpTimes () const
void	update ()
Public Member Functions inherited from TermStructure
	TermStructure (const DayCounter &dc=DayCounter())
	default constructor More...
	TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual	~TermStructure ()
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Time	maxTime () const
	the latest time for which the curve can return values
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled
Public Member Functions inherited from LazyObject
void	recalculate ()
void	freeze ()
void	unfreeze ()
void	alwaysForwardNotifications ()

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Member Functions inherited from YieldTermStructure
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from TermStructure
bool	moving_
bool	updated_
Calendar	calendar_
Protected Attributes inherited from LazyObject
bool	calculated_
bool	frozen_
bool	alwaysForward_

Detailed Description

Flat interest-rate curve.

Examples

CallableBonds.cpp, ConvertibleBonds.cpp, DiscreteHedging.cpp, EquityOption.cpp, Replication.cpp, and Repo.cpp.

Member Function Documentation

update()

void update ( )

virtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.