org.jquantlib.termstructures.yieldcurves

Class ForwardRateStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.AbstractYieldTermStructure

org.jquantlib.termstructures.yieldcurves.ForwardRateStructure

All Implemented Interfaces:

Extrapolator, TermStructure, YieldTermStructure, Observable, Observer

Direct Known Subclasses:

ForwardSpreadedTermStructure, InterpolatedForwardCurve

public abstract class ForwardRateStructure
extends AbstractYieldTermStructure

Forward-rate term structure

This abstract class acts as an adapter to TermStructure allowing the programmer to implement only method forwardImpl(double) in derived classes. Zero yields and discounts are calculated from forwards. Rates are assumed to be annual continuous compounding.

See Also:

documentation for issues regarding constructors.

Method Summary

Modifier and Type	Method and Description
double	discountImpl(double t) See the TermStructure documentation for issues regarding constructors.

Methods inherited from class org.jquantlib.termstructures.AbstractYieldTermStructure

discount, discount, discount, discount, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, parRate, parRate, parRate, zeroRate, zeroRate, zeroRate, zeroRate

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, dayCounter, deleteObserver, deleteObservers, disableExtrapolation, enableExtrapolation, getObservers, maxTime, notifyObservers, notifyObservers, referenceDate, settlementDays, timeFromReference, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.termstructures.TermStructure

calendar, dayCounter, maxDate, maxTime, referenceDate, settlementDays, timeFromReference

Methods inherited from interface org.jquantlib.math.interpolations.Extrapolator

allowsExtrapolation, disableExtrapolation, enableExtrapolation

Methods inherited from interface org.jquantlib.util.Observer

update

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Method Detail

discountImpl

public double discountImpl(double t)

Description copied from class: AbstractYieldTermStructure

See the TermStructure documentation for issues regarding constructors.