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<li class="navelem"><a class="el" href="class_quant_lib_1_1_forward_spreaded_term_structure.html">ForwardSpreadedTermStructure</a> </li>
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<a href="#pub-methods">Public Member Functions</a> </div>
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<div class="title">ForwardSpreadedTermStructure 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::ForwardSpreadedTermStructure" --><!-- doxytag: inherits="QuantLib::ForwardRateStructure" -->
<p>Term structure with added spread on the instantaneous forward rate.
<a href="class_quant_lib_1_1_forward_spreaded_term_structure.html#details">More...</a></p>
<p><code>#include <ql/termstructures/yield/forwardspreadedtermstructure.hpp></code></p>
<div class="dynheader">
Inheritance diagram for ForwardSpreadedTermStructure:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_forward_spreaded_term_structure__inherit__graph.png" border="0" usemap="#_forward_spreaded_term_structure_inherit__map" alt="Inheritance graph"/></div>
<map name="_forward_spreaded_term_structure_inherit__map" id="_forward_spreaded_term_structure_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_forward_rate_structure.html" title="Forward-rate term structure" alt="" coords="35,6,181,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_forward_spreaded_term_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 class="memItemLeft" align="right" valign="top"><a class="anchor" id="af0fc8e2b047bebd3a8a7ffecb98042b5"></a><!-- doxytag: member="QuantLib::ForwardSpreadedTermStructure::ForwardSpreadedTermStructure" ref="af0fc8e2b047bebd3a8a7ffecb98042b5" args="(const Handle< YieldTermStructure > &, const Handle< Quote > &spread)" -->
 </td><td class="memItemRight" valign="bottom"><b>ForwardSpreadedTermStructure</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &, const <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> > &spread)</td></tr>
<tr><td colspan="2"><div class="groupHeader">TermStructure interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::ForwardSpreadedTermStructure::dayCounter" ref="ac147d63df367bbe5282b76b1f98cb9be" args="() const " -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_spreaded_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::ForwardSpreadedTermStructure::maxDate" ref="a74d8fc5480ca811db8332b7b30597fe9" 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_forward_spreaded_term_structure.html#a74d8fc5480ca811db8332b7b30597fe9">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" align="right" valign="top"><a class="anchor" id="a3b8677915d5a95b48578b82ed1d7508f"></a><!-- doxytag: member="QuantLib::ForwardSpreadedTermStructure::maxTime" ref="a3b8677915d5a95b48578b82ed1d7508f" args="() const " -->
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_spreaded_term_structure.html#a3b8677915d5a95b48578b82ed1d7508f">maxTime</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest time for which the curve can return values <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5662908c63119a3b347a7e0ec8544afa"></a><!-- doxytag: member="QuantLib::ForwardSpreadedTermStructure::referenceDate" ref="a5662908c63119a3b347a7e0ec8544afa" args="() const " -->
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_forward_spreaded_term_structure.html#a5662908c63119a3b347a7e0ec8544afa">referenceDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the date at which discount = 1.0 and/or variance = 0.0 <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae9a0f3904cff2fe61596c593dd0b6448"></a><!-- doxytag: member="QuantLib::ForwardSpreadedTermStructure::calendar" ref="ae9a0f3904cff2fe61596c593dd0b6448" args="() const " -->
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_spreaded_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the calendar used for reference and/or option date calculation <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab6506da60fec85c6f146f1b43116de70"></a><!-- doxytag: member="QuantLib::ForwardSpreadedTermStructure::settlementDays" ref="ab6506da60fec85c6f146f1b43116de70" args="() const " -->
<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_spreaded_term_structure.html#ab6506da60fec85c6f146f1b43116de70">settlementDays</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the settlementDays used for reference date calculation <br/></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">ForwardRateStructure implementation</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af9a0dab6e2bfb4a21dce277a40fcf928"></a><!-- doxytag: member="QuantLib::ForwardSpreadedTermStructure::forwardImpl" ref="af9a0dab6e2bfb4a21dce277a40fcf928" args="(Time t) const " -->
<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_spreaded_term_structure.html#af9a0dab6e2bfb4a21dce277a40fcf928">forwardImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </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"><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_spreaded_term_structure.html#a7b3637b3975a6b4b75b71f31793d4687">zeroYieldImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Term structure with added spread on the instantaneous forward rate. </p>
<dl class="note"><dt><b>Note:</b></dt><dd>This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.</dd></dl>
<dl class="test"><dt><b><a class="el" href="test.html#_test000140">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned values is tested by checking them against numerical calculations.</li>
<li>observability against changes in the underlying term structure and in the added spread is checked. </li>
</ul>
</dd></dl>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a7b3637b3975a6b4b75b71f31793d4687"></a><!-- doxytag: member="QuantLib::ForwardSpreadedTermStructure::zeroYieldImpl" ref="a7b3637b3975a6b4b75b71f31793d4687" args="(Time t) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> <a class="el" href="class_quant_lib_1_1_forward_spreaded_term_structure.html#a7b3637b3975a6b4b75b71f31793d4687">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>
</tr>
</table>
</div>
<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 from <a class="el" href="class_quant_lib_1_1_forward_rate_structure.html#a5da0d2e596148e3aa538b6e47a8ecf63">ForwardRateStructure</a>.</p>
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