Model Implied Yts Fwd Corrected. More...
#include <qle/models/modelimpliedyieldtermstructure.hpp>
Public Member Functions | |
ModelImpliedYtsFwdFwdCorrected (const boost::shared_ptr< IrModel > &model, const Handle< YieldTermStructure > targetCurve, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false) | |
void | referenceDate (const Date &d) override |
void | referenceTime (const Time t) override |
Public Member Functions inherited from ModelImpliedYieldTermStructure | |
ModelImpliedYieldTermStructure (const boost::shared_ptr< IrModel > &model, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false) | |
Date | maxDate () const override |
Time | maxTime () const override |
const Date & | referenceDate () const override |
void | state (const Array &s) |
void | move (const Date &d, const Array &s) |
void | move (const Time t, const Array &s) |
virtual void | update () override |
Protected Member Functions | |
Real | discountImpl (Time t) const override |
Protected Member Functions inherited from ModelImpliedYieldTermStructure | |
Real | discountImpl (Time t) const override |
Additional Inherited Members | |
Protected Attributes inherited from ModelImpliedYieldTermStructure | |
const boost::shared_ptr< IrModel > | model_ |
const bool | purelyTimeBased_ |
Date | referenceDate_ |
Real | relativeTime_ |
Array | state_ |
Model Implied Yts Fwd Corrected.
the target curve should have a reference date consistent with the model's term structure