1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005, 2007 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file flatforward.hpp
22 \brief flat forward rate term structure
23*/
24
25#ifndef quantlib_flat_forward_curve_hpp
26#define quantlib_flat_forward_curve_hpp
27
28#include <ql/patterns/lazyobject.hpp>
29#include <ql/termstructures/yieldtermstructure.hpp>
30#include <ql/quote.hpp>
31
32namespace QuantLib {
33
34 //! Flat interest-rate curve
35 /*! \ingroup yieldtermstructures */
36 class FlatForward : public YieldTermStructure,
37 public LazyObject {
38 public:
39 //! \name Constructors
40 //@{
41 FlatForward(const Date& referenceDate,
42 Handle<Quote> forward,
43 const DayCounter& dayCounter,
44 Compounding compounding = Continuous,
45 Frequency frequency = Annual);
46 FlatForward(const Date& referenceDate,
47 Rate forward,
48 const DayCounter& dayCounter,
49 Compounding compounding = Continuous,
50 Frequency frequency = Annual);
51 FlatForward(Natural settlementDays,
52 const Calendar& calendar,
53 Handle<Quote> forward,
54 const DayCounter& dayCounter,
55 Compounding compounding = Continuous,
56 Frequency frequency = Annual);
57 FlatForward(Natural settlementDays,
58 const Calendar& calendar,
59 Rate forward,
60 const DayCounter& dayCounter,
61 Compounding compounding = Continuous,
62 Frequency frequency = Annual);
63 //@}
64
65 // inspectors
66 Compounding compounding() const { return compounding_; }
67 Frequency compoundingFrequency() const { return frequency_; }
68
69 //! \name TermStructure interface
70 //@{
71 Date maxDate() const override { return Date::maxDate(); }
72 //@}
73
74 //! \name Observer interface
75 //@{
76 void update() override;
77 //@}
78 private:
79 //! \name LazyObject interface
80 //@{
81 void performCalculations() const override;
82 //@}
83
84 //! \name YieldTermStructure implementation
85 //@{
86 DiscountFactor discountImpl(Time) const override;
87 //@}
88
89 Handle<Quote> forward_;
90 Compounding compounding_;
91 Frequency frequency_;
92 mutable InterestRate rate_;
93 };
94
95 // inline definitions
96
97 inline void FlatForward::update() {
98 LazyObject::update();
99 YieldTermStructure::update();
100 }
101
102 inline DiscountFactor FlatForward::discountImpl(Time t) const {
103 calculate();
104 return rate_.discountFactor(t);
105 }
106
107 inline void FlatForward::performCalculations() const {
108 rate_ = InterestRate(forward_->value(), dayCounter(),
109 compounding_, frequency_);
110 }
111
112}
113
114#endif
115

source code of quantlib/ql/termstructures/yield/flatforward.hpp