The class implements the forward curve. More...

#include <ForwardCurve.hpp>

Public Member Functions
	ForwardCurve ()
	default constructor More...

	ForwardCurve (const Date as_of_date, const SmartPointer< Interpolation > &interpolation, const SmartPointer< YearFraction > &yf, const std::vector< Date > &dates, const std::vector< double > &prices)
	default More...

double	getForwardPrice (Date d)
	calculates the forward for a given date More...

std::vector< Date >	getDates ()
	returns grid dates More...

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int)
	interface used by Boost serialization library More...

Private Attributes
Date	as_of_date_
	date on which the curve is valid. More...

SmartPointer< Interpolation >	interpolation_
	Interpolation method. More...

SmartPointer< YearFraction >	yf_
	Year fraction convention changes dates into continuous time. More...

std::vector< Date >	dates_
	Grid dates. More...

std::vector< double >	time_
	Continuous time calculated on basis of grid dates. More...

std::vector< double >	prices_
	Forward prices associated with dates. More...

Friends
class	boost::serialization::access

std::ostream &	operator<< (std::ostream &, ForwardCurve &)
	Overloads stream operator. More...

Detailed Description

The class implements the forward curve.

The forward curve is a function graph in finance that defines the prices at which a contract for future delivery or payment can be concluded today. The forward curve can represent prices of commodity, equity of fx forwards.

Object is defined by set of dates and prices. To calculate the forward price on date that is not a grid date, interpolation is applied.

Constructor & Destructor Documentation

julian::ForwardCurve::ForwardCurve ( )

default constructor

julian::ForwardCurve::ForwardCurve	(	const Date	as_of_date,
		const SmartPointer< Interpolation > &	interpolation,
		const SmartPointer< YearFraction > &	yf,
		const std::vector< Date > &	dates,
		const std::vector< double > &	prices
	)

default

Member Function Documentation

std::vector< Date > julian::ForwardCurve::getDates ( )

returns grid dates

double julian::ForwardCurve::getForwardPrice ( Date d )

calculates the forward for a given date

template<class Archive >

void julian::ForwardCurve::serialize	(	Archive &	ar,
		const unsigned	int
	)

private

interface used by Boost serialization library

Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	s,
		julian::ForwardCurve &	c
	)

friend

Overloads stream operator.

This overloaded operator enables to print the curve on the console.

Member Data Documentation

Date julian::ForwardCurve::as_of_date_

private

date on which the curve is valid.

std::vector<Date> julian::ForwardCurve::dates_

private

Grid dates.

SmartPointer<Interpolation> julian::ForwardCurve::interpolation_

private

Interpolation method.

std::vector<double> julian::ForwardCurve::prices_

private

Forward prices associated with dates.

std::vector<double> julian::ForwardCurve::time_

private

Continuous time calculated on basis of grid dates.

SmartPointer<YearFraction> julian::ForwardCurve::yf_

private

Year fraction convention changes dates into continuous time.

The documentation for this class was generated from the following files:

C:/Unix/home/OEM/jULIAN/src/marketData/ForwardCurve.hpp
C:/Unix/home/OEM/jULIAN/src/marketData/ForwardCurve.cpp

Public Member Functions

Private Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation