InterpolatedPillarOnlyForwardCurve< Interpolator > Class Template Reference

Forward rate curve interpolating on pillar dates only, excluding synthetic t=0. More...

#include <qle/termstructures/pillaronlyyieldcurve.hpp>

Inheritance diagram for InterpolatedPillarOnlyForwardCurve< Interpolator >:

Public Member Functions
Constructors
	InterpolatedPillarOnlyForwardCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwardRates, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator())
YieldTermStructure interface
Date	maxDate () const override

YieldTermStructure implementation
DiscountFactor	discountImpl (Time t) const override

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedPillarOnlyForwardCurve< Interpolator >

Forward rate curve interpolating on pillar dates only, excluding synthetic t=0.

This curve interpolates instantaneous forward rates on actual market pillar dates only, excluding the synthetic time-zero point.

Key features:

• At t=0: Returns DF(0) = 1.0 by definition
• Left extrapolation (0 < t < t₁): Flat forward rate from first pillar
• Interpolation (t₁ ≤ t ≤ tₙ): Uses provided interpolator on pillar forward rates
• Right extrapolation (t > tₙ): Flat forward rate from last pillar
• Discount factors computed by numerical integration: DF(t) = exp(-∫₀ᵗ f(s)ds)