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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file flatforward.hpp
\brief flat forward rate term structure
\fullpath
ql/TermStructures/%flatforward.hpp
*/
// $Id: flatforward.hpp,v 1.11 2002/01/16 14:41:05 nando Exp $
#ifndef quantlib_flat_forward_curve_h
#define quantlib_flat_forward_curve_h
#include <ql/termstructure.hpp>
#include <ql/dataformatters.hpp>
namespace QuantLib {
namespace TermStructures {
class FlatForward : public TermStructure {
public:
// constructor
FlatForward(Currency currency,
const DayCounter& dayCounter,
const Date& todaysDate, const Calendar& calendar,
int settlementDays, Rate forward);
// inspectors
Currency currency() const;
DayCounter dayCounter() const;
Date todaysDate() const;
int settlementDays() const;
Calendar calendar() const;
Date settlementDate() const;
Date maxDate() const;
Date minDate() const;
Time maxTime() const;
Time minTime() const;
protected:
Rate zeroYieldImpl(Time, bool extrapolate = false) const;
DiscountFactor discountImpl(Time,
bool extrapolate = false) const;
Rate forwardImpl(Time, bool extrapolate = false) const;
private:
Currency currency_;
DayCounter dayCounter_;
Date todaysDate_;
Calendar calendar_;
int settlementDays_;
Date settlementDate_;
Rate forward_;
};
// inline definitions
inline FlatForward::FlatForward(Currency currency,
const DayCounter& dayCounter, const Date& todaysDate,
const Calendar& calendar, int settlementDays,
Rate forward)
: currency_(currency), dayCounter_(dayCounter),
todaysDate_(todaysDate), calendar_(calendar),
settlementDays_(settlementDays), forward_(forward) {
settlementDate_ = calendar_.advance(
todaysDate_,settlementDays_,Days);
}
inline Currency FlatForward::currency() const {
return currency_;
}
inline DayCounter FlatForward::dayCounter() const {
return dayCounter_;
}
inline Date FlatForward::todaysDate() const {
return todaysDate_;
}
inline Calendar FlatForward::calendar() const {
return calendar_;
}
inline int FlatForward::settlementDays() const {
return settlementDays_;
}
inline Date FlatForward::settlementDate() const {
return settlementDate_;
}
inline Date FlatForward::maxDate() const {
return Date::maxDate();
}
inline Date FlatForward::minDate() const {
return settlementDate_;
}
inline Time FlatForward::maxTime() const {
return dayCounter().yearFraction(
settlementDate(), Date::maxDate());
}
inline Time FlatForward::minTime() const {
return 0.0;
}
inline Rate FlatForward::zeroYieldImpl(Time t, bool) const {
// no forward limit on time
QL_REQUIRE(t >= 0.0,
"FlatForward: zero yield requested for negative time (" +
DoubleFormatter::toString(t) + ")");
return forward_;
}
inline DiscountFactor FlatForward::discountImpl(Time t, bool) const {
// no forward limit on time
QL_REQUIRE(t >= 0.0,
"FlatForward: discount requested for negative time (" +
DoubleFormatter::toString(t) + ")");
return DiscountFactor(QL_EXP(-forward_*t));
}
inline Rate FlatForward::forwardImpl(Time t, bool) const {
// no forward limit on time
QL_REQUIRE(t >= 0.0,
"FlatForward: forward requested for negative time (" +
DoubleFormatter::toString(t) + ")");
return forward_;
}
}
}
#endif
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