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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_compound_forward.html">CompoundForward</a></div>
<h1>CompoundForward Class Reference</h1><!-- doxytag: class="QuantLib::CompoundForward" --><!-- doxytag: inherits="QuantLib::ForwardRateStructure" --><code>#include <ql/legacy/termstructures/compoundforward.hpp></code>
<p>
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Inheritance diagram for CompoundForward:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_compound_forward__inherit__graph.png" border="0" usemap="#_compound_forward__inherit__map" alt="Inheritance graph"></center>
<map name="_compound_forward__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_forward_rate_structure.html" title="Forward-rate term structure" alt="" coords="5,7,171,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
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<a href="class_quant_lib_1_1_compound_forward-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
compound-forward structure
<p>
<dl compact><dt><b><a class="el" href="test.html#_test000017">Tests:</a></b></dt><dd><ul>
<li>the correctness of the curve is tested by reproducing the input data.</li><li>the correctness of the curve is tested by checking the consistency between returned rates and swaps priced on the curve.</li></ul>
</dd></dl>
<dl compact><dt><b><a class="el" href="bug.html#_bug000002">Bug:</a></b></dt><dd>swap rates are not reproduced exactly when using indexed coupons. Apparently, some assumption about the swap fixings is hard-coded into the bootstrapping algorithm. </dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ea5f640544d70a8b27b921dff04e940e"></a><!-- doxytag: member="QuantLib::CompoundForward::CompoundForward" ref="ea5f640544d70a8b27b921dff04e940e" args="(const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter)" -->
</td><td class="memItemRight" valign="bottom"><b>CompoundForward</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &dates, const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > &forwards, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, const <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> conv, const <a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> compounding, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9d653d6960e5abf8a835f24fd9beb685"></a><!-- doxytag: member="QuantLib::CompoundForward::businessDayConvention" ref="9d653d6960e5abf8a835f24fd9beb685" args="() const " -->
<a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>businessDayConvention</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="56bb8a5e62af45b44cb0f5781037b3a2"></a><!-- doxytag: member="QuantLib::CompoundForward::compounding" ref="56bb8a5e62af45b44cb0f5781037b3a2" args="() const " -->
<a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>compounding</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::CompoundForward::maxDate" ref="74d8fc5480ca811db8332b7b30597fe9" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_compound_forward.html#74d8fc5480ca811db8332b7b30597fe9">maxDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a338cfa77dc3c8dc467f4225459094fd"></a><!-- doxytag: member="QuantLib::CompoundForward::times" ref="a338cfa77dc3c8dc467f4225459094fd" args="() const " -->
const std::vector< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td><td class="memItemRight" valign="bottom"><b>times</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="021de10463e6e18e294494d7cbb2b75d"></a><!-- doxytag: member="QuantLib::CompoundForward::dates" ref="021de10463e6e18e294494d7cbb2b75d" args="() const " -->
const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > & </td><td class="memItemRight" valign="bottom"><b>dates</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5c239d4bdc99dae223cb2de026ea3925"></a><!-- doxytag: member="QuantLib::CompoundForward::forwards" ref="5c239d4bdc99dae223cb2de026ea3925" args="() const " -->
const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>forwards</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="37e82abb74a4342f9e1409b5d034d10d"></a><!-- doxytag: member="QuantLib::CompoundForward::discountCurve" ref="37e82abb74a4342f9e1409b5d034d10d" args="() const " -->
boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_extended_discount_curve.html">ExtendedDiscountCurve</a> > </td><td class="memItemRight" valign="bottom"><b>discountCurve</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7a64c70f9eb5dde28eb9e1b17d3c16be"></a><!-- doxytag: member="QuantLib::CompoundForward::compoundForward" ref="7a64c70f9eb5dde28eb9e1b17d3c16be" args="(const Date &d1, Integer f, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>compoundForward</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d1, <a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> f, bool extrapolate=false) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a4e14b2f4b4c3c4ae147069cab944f5d"></a><!-- doxytag: member="QuantLib::CompoundForward::compoundForward" ref="a4e14b2f4b4c3c4ae147069cab944f5d" args="(Time t1, Integer f, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>compoundForward</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t1, <a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> f, bool extrapolate=false) const </td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e78c9355df0fe6bd5925295fd929e51"></a><!-- doxytag: member="QuantLib::CompoundForward::calibrateNodes" ref="0e78c9355df0fe6bd5925295fd929e51" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calibrateNodes</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0985baf013ca4551cf497b3de4fd9db2"></a><!-- doxytag: member="QuantLib::CompoundForward::bootstrap" ref="0985baf013ca4551cf497b3de4fd9db2" args="() const " -->
boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>bootstrap</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_compound_forward.html#c5fe572646475bf02f83c3bedfca9a61">zeroYieldImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_compound_forward.html#2c21d8d34e88bb0451cabdd4e280ab17">discountImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b484ac932cd12e7737d72c0048167336"></a><!-- doxytag: member="QuantLib::CompoundForward::referenceNode" ref="b484ac932cd12e7737d72c0048167336" args="(Time) const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>referenceNode</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa0209491613a4dfe502b77e28b8ab50"></a><!-- doxytag: member="QuantLib::CompoundForward::forwardImpl" ref="fa0209491613a4dfe502b77e28b8ab50" args="(Time) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_compound_forward.html#fa0209491613a4dfe502b77e28b8ab50">forwardImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">instantaneous forward-rate calculation <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4bc4cfec066cf66ae788382c3766496d"></a><!-- doxytag: member="QuantLib::CompoundForward::compoundForwardImpl" ref="4bc4cfec066cf66ae788382c3766496d" args="(Time, Integer) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>compoundForwardImpl</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a>) const </td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="c5fe572646475bf02f83c3bedfca9a61"></a><!-- doxytag: member="QuantLib::CompoundForward::zeroYieldImpl" ref="c5fe572646475bf02f83c3bedfca9a61" args="(Time) const " -->
<div class="memitem">
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<td class="memname"><a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> zeroYieldImpl </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>t</em> </td>
<td> ) </td>
<td width="100%"> const<code> [protected, virtual]</code></td>
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<p>
Returns the zero yield rate for the given date calculating it from the instantaneous forward rate.<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000105">Warning:</a></b></dt><dd>This is just a default, highly inefficient and possibly wildly inaccurate implementation. Derived classes should implement their own zeroYield method. </dd></dl>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_forward_rate_structure.html#c5fe572646475bf02f83c3bedfca9a61">ForwardRateStructure</a>.</p>
</div>
</div><p>
<a class="anchor" name="2c21d8d34e88bb0451cabdd4e280ab17"></a><!-- doxytag: member="QuantLib::CompoundForward::discountImpl" ref="2c21d8d34e88bb0451cabdd4e280ab17" args="(Time) const " -->
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<div class="memproto">
<table class="memname">
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<td class="memname"><a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> discountImpl </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>t</em> </td>
<td> ) </td>
<td width="100%"> const<code> [protected, virtual]</code></td>
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<p>
Returns the discount factor for the given date calculating it from the instantaneous forward rate.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_forward_rate_structure.html#2c21d8d34e88bb0451cabdd4e280ab17">ForwardRateStructure</a>.</p>
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