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<div class="title">ForwardRateStructure Class Reference<div class="ingroups"><a class="el" href="group__yieldtermstructures.html">Term structures</a></div></div> </div>
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<!-- doxytag: class="QuantLib::ForwardRateStructure" --><!-- doxytag: inherits="QuantLib::YieldTermStructure" -->
<p>Forward-rate term structure
<a href="class_quant_lib_1_1_forward_rate_structure.html#details">More...</a></p>
<p><code>#include <ql/termstructures/yield/forwardstructure.hpp></code></p>
<div class="dynheader">
Inheritance diagram for ForwardRateStructure:</div>
<div class="dyncontent">
<div class="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"/></div>
<map name="_forward_rate_structure_inherit__map" id="_forward_rate_structure_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_forward_spreaded_term_structure.html" title="Term structure with added spread on the instantaneous forward rate." alt="" coords="5,166,211,197"/><area shape="rect" id="node7" href="class_quant_lib_1_1_interpolated_forward_curve.html" title="YieldTermStructure based on interpolation of forward rates." alt="" coords="235,166,493,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_yield_term_structure.html" title="Interest-rate term structure." alt="" coords="169,6,303,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_forward_rate_structure-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>See the <a class="el" href="class_quant_lib_1_1_term_structure.html" title="Basic term-structure functionality.">TermStructure</a> documentation for issues regarding constructors. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab9b14b3deb94129175d20e45821f61fd"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::ForwardRateStructure" ref="ab9b14b3deb94129175d20e45821f61fd" args="(const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())" -->
 </td><td class="memItemRight" valign="bottom"><b>ForwardRateStructure</b> (const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>(), const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &jumps=std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > >(), const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &jumpDates=std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7b11cbb8289a2f4e8a60881933db71cb"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::ForwardRateStructure" ref="a7b11cbb8289a2f4e8a60881933db71cb" args="(const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())" -->
 </td><td class="memItemRight" valign="bottom"><b>ForwardRateStructure</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</a>, 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> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>(), const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &jumps=std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > >(), const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &jumpDates=std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af53b3b6ab246c5407d66ca67298883bc"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::ForwardRateStructure" ref="af53b3b6ab246c5407d66ca67298883bc" args="(Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())" -->
 </td><td class="memItemRight" valign="bottom"><b>ForwardRateStructure</b> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#ab6506da60fec85c6f146f1b43116de70">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>(), const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &jumps=std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > >(), const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &jumpDates=std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >())</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>These methods must be implemented in derived classes to perform the actual calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aba98e032168bf53ec33f971ff872fa40"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::forwardImpl" ref="aba98e032168bf53ec33f971ff872fa40" args="(Time) const =0" -->
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_structure.html#aba98e032168bf53ec33f971ff872fa40">forwardImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">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" align="right" valign="top">virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_structure.html#a5da0d2e596148e3aa538b6e47a8ecf63">zeroYieldImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">YieldTermStructure implementation</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_structure.html#a2c21d8d34e88bb0451cabdd4e280ab17">discountImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Forward-rate term structure </p>
<p>This abstract class acts as an adapter to <a class="el" href="class_quant_lib_1_1_yield_term_structure.html" title="Interest-rate term structure.">YieldTermStructure</a> allowing the programmer to implement only the <code>forwardImpl(Time)</code> method in derived classes.</p>
<p>Zero yields and discounts are calculated from forwards.</p>
<p><a class="el" href="class_quant_lib_1_1_forward.html" title="Abstract base forward class.">Forward</a> rates are assumed to be annual continuous compounding. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a5da0d2e596148e3aa538b6e47a8ecf63"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::zeroYieldImpl" ref="a5da0d2e596148e3aa538b6e47a8ecf63" args="(Time) const " -->
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<td class="memname">virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> <a class="el" href="class_quant_lib_1_1_forward_rate_structure.html#a5da0d2e596148e3aa538b6e47a8ecf63">zeroYieldImpl</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"></td><td>)</td>
<td> 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 <img class="formulaInl" alt="$ f(t) $" src="form_302.png"/> as </p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ z(t) = \int_0^t f(\tau) d\tau \]" src="form_394.png"/>
</p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000137">Warning:</a></b></dt><dd>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. </dd></dl>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_interpolated_forward_curve.html#a7b3637b3975a6b4b75b71f31793d4687">InterpolatedForwardCurve< Interpolator ></a>, and <a class="el" href="class_quant_lib_1_1_forward_spreaded_term_structure.html#a7b3637b3975a6b4b75b71f31793d4687">ForwardSpreadedTermStructure</a>.</p>
</div>
</div>
<a class="anchor" id="a2c21d8d34e88bb0451cabdd4e280ab17"></a><!-- doxytag: member="QuantLib::ForwardRateStructure::discountImpl" ref="a2c21d8d34e88bb0451cabdd4e280ab17" args="(Time) const " -->
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<td class="memname"><a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> <a class="el" href="class_quant_lib_1_1_forward_rate_structure.html#a2c21d8d34e88bb0451cabdd4e280ab17">discountImpl</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>t</em></td><td>)</td>
<td> const<code> [protected, virtual]</code></td>
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<div class="memdoc">
<p>Returns the discount factor for the given date calculating it from the zero rate as <img class="formulaInl" alt="$ d(t) = \exp \left( -z(t) t \right) $" src="form_395.png"/> </p>
<p>Implements <a class="el" href="class_quant_lib_1_1_yield_term_structure.html#afe73bf9ae8077e99d6edde6ea309e991">YieldTermStructure</a>.</p>
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