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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004 StatPro Italia srl
Copyright (C) 2009 Ferdinando Ametrano
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/termstructures/yield/forwardstructure.hpp>
namespace QuantLib {
ForwardRateStructure::ForwardRateStructure(
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: YieldTermStructure(dc, jumps, jumpDates) {}
ForwardRateStructure::ForwardRateStructure(
const Date& refDate,
const Calendar& cal,
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: YieldTermStructure(refDate, cal, dc, jumps, jumpDates) {}
ForwardRateStructure::ForwardRateStructure(
Natural settlDays,
const Calendar& cal,
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: YieldTermStructure(settlDays, cal, dc, jumps, jumpDates) {}
Rate ForwardRateStructure::zeroYieldImpl(Time t) const {
if (t == 0.0)
return forwardImpl(0.0);
// implement smarter integration if plan to use the following code
Rate sum = 0.5*forwardImpl(0.0);
Size N = 1000;
Time dt = t/N;
for (Time i=dt; i<t; i+=dt)
sum += forwardImpl(i);
sum += 0.5*forwardImpl(t);
return Rate(sum*dt/t);
}
}
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