ModelImpliedYtsFwdFwdCorrected Class Reference

Model Implied Yts Fwd Corrected. More...

#include <qle/models/modelimpliedyieldtermstructure.hpp>

Inheritance diagram for ModelImpliedYtsFwdFwdCorrected:

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_

Detailed Description

Model Implied Yts Fwd Corrected.

the target curve should have a reference date consistent with the model's term structure