org.jquantlib.termstructures.yieldcurves

Class ImpliedTermStructure<T extends YieldTermStructure>

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.AbstractYieldTermStructure

org.jquantlib.termstructures.yieldcurves.ImpliedTermStructure<T>

All Implemented Interfaces:

Extrapolator, TermStructure, YieldTermStructure, Observable, Observer

public class ImpliedTermStructure<T extends YieldTermStructure>
extends AbstractYieldTermStructure

Implied term structure at a given date in the future.

Constructor Summary

Constructors

Constructor and Description
ImpliedTermStructure(Handle<T> h, Date referenceDate)

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()
int	settlementDays() Returns the settlementDays used for reference date calculation

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, maxTime, notifyObservers, notifyObservers, referenceDate, 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

maxTime, referenceDate, 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

ImpliedTermStructure

public ImpliedTermStructure(Handle<T> h,
                            Date referenceDate)

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

settlementDays

public int settlementDays()

Description copied from interface: TermStructure

Returns the settlementDays used for reference date calculation

Specified by:

settlementDays in interface TermStructure

Overrides:

settlementDays in class AbstractTermStructure

Returns:

the settlementDays used for reference date calculation

maxDate

public Date maxDate()

Returns:

the latest date for which the curve can return values