org.jquantlib.termstructures.yieldcurves

Class ForwardSpreadedTermStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.AbstractYieldTermStructure

org.jquantlib.termstructures.yieldcurves.ForwardRateStructure

org.jquantlib.termstructures.yieldcurves.ForwardSpreadedTermStructure

All Implemented Interfaces:

Extrapolator, TermStructure, YieldTermStructure, Observable, Observer

public class ForwardSpreadedTermStructure
extends ForwardRateStructure

Term structure with added spread on the instantaneous forward rate

Constructor Summary

Constructors

Constructor and Description
ForwardSpreadedTermStructure(Handle<YieldTermStructure> h, Handle<Quote> spread)

Method Summary

Modifier and Type	Method and Description
Calendar	calendar() Return the calendar used for reference date calculation
DayCounter	dayCounter() Return the day counter used for date/double conversion
Date	maxDate()
double	maxTime() Returns the latest double for which the curve can return values
Date	referenceDate() Returns the Date at which discount = 1.0 and/or variance = 0.0
double	zeroYieldImpl(double t) Returns the zero yield rate for the given date calculating it from the instantaneous forward rate.

Methods inherited from class org.jquantlib.termstructures.yieldcurves.ForwardRateStructure

discountImpl

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, countObservers, deleteObserver, deleteObservers, disableExtrapolation, enableExtrapolation, getObservers, notifyObservers, notifyObservers, 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

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

Constructor Detail

ForwardSpreadedTermStructure

public ForwardSpreadedTermStructure(Handle<YieldTermStructure> h,
                                    Handle<Quote> spread)

Method Detail

dayCounter

public DayCounter dayCounter()

Description copied from interface: TermStructure

Return the day counter used for date/double conversion

Specified by:

dayCounter in interface TermStructure

Overrides:

dayCounter in class AbstractTermStructure

Returns:

the day counter used for date/double conversion

calendar

public Calendar calendar()

Description copied from interface: TermStructure

Return the calendar used for reference date calculation

Specified by:

calendar in interface TermStructure

Overrides:

calendar in class AbstractTermStructure

Returns:

the calendar used for reference date calculation

referenceDate

public Date referenceDate()

Description copied from interface: TermStructure

Returns the Date at which discount = 1.0 and/or variance = 0.0

Specified by:

referenceDate in interface TermStructure

Overrides:

referenceDate in class AbstractTermStructure

maxDate

public Date maxDate()

Returns:

the latest date for which the curve can return values

maxTime

public double maxTime()

Description copied from interface: TermStructure

Returns the latest double for which the curve can return values

Specified by:

maxTime in interface TermStructure

Overrides:

maxTime in class AbstractTermStructure

Returns:

the latest double for which the curve can return values

zeroYieldImpl

public double zeroYieldImpl(double t)

Description copied from class: ForwardRateStructure

Returns the zero yield rate for the given date calculating it from the instantaneous forward rate.