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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.
*/
/*! \file forwardstructure.hpp
\brief Forward-based yield term structure
*/
#ifndef quantlib_forward_structure_hpp
#define quantlib_forward_structure_hpp
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! %Forward-rate term structure
/*! This abstract class acts as an adapter to YieldTermStructure allowing
the programmer to implement only the <tt>forwardImpl(Time)</tt> method
in derived classes.
Zero yields and discounts are calculated from forwards.
Forward rates are assumed to be annual continuous compounding.
\ingroup yieldtermstructures
*/
class ForwardRateStructure : public YieldTermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
ForwardRateStructure(
const DayCounter& dayCounter = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
ForwardRateStructure(
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>());
ForwardRateStructure(
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>());
//@}
protected:
/*! \name Calculations
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.
*/
//@{
//! instantaneous forward-rate calculation
virtual Rate forwardImpl(Time) const = 0;
/*! Returns the zero yield rate for the given date calculating it
from the instantaneous forward rate \f$ f(t) \f$ as
\f[
z(t) = \int_0^t f(\tau) d\tau
\f]
\warning 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.
*/
virtual Rate zeroYieldImpl(Time) const;
//@}
//! \name YieldTermStructure implementation
//@{
/*! Returns the discount factor for the given date calculating it
from the zero rate as \f$ d(t) = \exp \left( -z(t) t \right) \f$
*/
DiscountFactor discountImpl(Time) const;
//@}
};
// inline definitions
inline DiscountFactor ForwardRateStructure::discountImpl(Time t) const {
if (t == 0.0) // this acts as a safe guard in cases where
return 1.0; // zeroYieldImpl(0.0) would throw.
Rate r = zeroYieldImpl(t);
return DiscountFactor(std::exp(-r*t));
}
}
#endif
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