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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_forward_rate_structure.html">ForwardRateStructure</a></div>
<h1>ForwardRateStructure Class Reference<br>
<small>
[<a class="el" href="group__yieldtermstructures.html">Term structures</a>]</small>
</h1><!-- doxytag: class="QuantLib::ForwardRateStructure" --><!-- doxytag: inherits="QuantLib::YieldTermStructure" --><code>#include <ql/termstructures/yield/forwardstructure.hpp></code>
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<div class="dynheader">
Inheritance diagram for ForwardRateStructure:</div>
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<p><center><img src="class_quant_lib_1_1_forward_rate_structure__inherit__graph.png" border="0" usemap="#_forward_rate_structure__inherit__map" alt="Inheritance graph"></center>
<map name="_forward_rate_structure__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_compound_forward.html" title="compound-forward structure" alt="" coords="5,161,152,188"><area shape="rect" href="class_quant_lib_1_1_forward_spreaded_term_structure.html" title="Term structure with added spread on the instantaneous forward rate." alt="" coords="176,161,405,188"><area shape="rect" href="class_quant_lib_1_1_interpolated_forward_curve.html" title="Term structure based on interpolation of forward rates." alt="" coords="429,161,621,188"><area shape="rect" href="class_quant_lib_1_1_yield_term_structure.html" title="Interest-rate term structure." alt="" coords="219,7,363,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_forward_rate_structure-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Forward-rate term structure
<p>
This abstract class acts as an adapter to <a class="el" href="class_quant_lib_1_1_term_structure.html" title="Basic term-structure functionality.">TermStructure</a> allowing the programmer to implement only the <code>forwardImpl(const Date&, bool)</code> method in derived classes. Zero yields and discounts are calculated from forwards.<p>
Rates are assumed to be annual continuous compounding. <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 colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText">See the TermStructure documentation for issues regarding constructors. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cf6f1e44775a42f91f71a031cbfab323"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::ForwardRateStructure" ref="cf6f1e44775a42f91f71a031cbfab323" args="(const DayCounter &dayCounter=Actual365Fixed())" -->
</td><td class="memItemRight" valign="bottom"><b>ForwardRateStructure</b> (const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac1dd1d91f4546dc7ca221ce9847b1db"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::ForwardRateStructure" ref="ac1dd1d91f4546dc7ca221ce9847b1db" args="(const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=Actual365Fixed())" -->
</td><td class="memItemRight" valign="bottom"><b>ForwardRateStructure</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0720785bbd55c0506cb95ae64f2cc9b"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::ForwardRateStructure" ref="b0720785bbd55c0506cb95ae64f2cc9b" args="(Natural settlementDays, const Calendar &, const DayCounter &dayCounter=Actual365Fixed())" -->
</td><td class="memItemRight" valign="bottom"><b>ForwardRateStructure</b> (<a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>())</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">YieldTermStructure implementation</div></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_forward_rate_structure.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="ba98e032168bf53ec33f971ff872fa40"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::forwardImpl" ref="ba98e032168bf53ec33f971ff872fa40" args="(Time) const =0" -->
virtual <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_forward_rate_structure.html#ba98e032168bf53ec33f971ff872fa40">forwardImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const =0</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">virtual <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_forward_rate_structure.html#c5fe572646475bf02f83c3bedfca9a61">zeroYieldImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="2c21d8d34e88bb0451cabdd4e280ab17"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::discountImpl" ref="2c21d8d34e88bb0451cabdd4e280ab17" args="(Time) const " -->
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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>Implements <a class="el" href="class_quant_lib_1_1_yield_term_structure.html#fe73bf9ae8077e99d6edde6ea309e991">YieldTermStructure</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_compound_forward.html#2c21d8d34e88bb0451cabdd4e280ab17">CompoundForward</a>.</p>
</div>
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<a class="anchor" name="c5fe572646475bf02f83c3bedfca9a61"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::zeroYieldImpl" ref="c5fe572646475bf02f83c3bedfca9a61" args="(Time) const " -->
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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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<div class="memdoc">
<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 in <a class="el" href="class_quant_lib_1_1_compound_forward.html#c5fe572646475bf02f83c3bedfca9a61">CompoundForward</a>, <a class="el" href="class_quant_lib_1_1_interpolated_forward_curve.html#7b3637b3975a6b4b75b71f31793d4687">InterpolatedForwardCurve</a>, and <a class="el" href="class_quant_lib_1_1_forward_spreaded_term_structure.html#c5fe572646475bf02f83c3bedfca9a61">ForwardSpreadedTermStructure</a>.</p>
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