Class TermStructure

Inheritance Relationships

Derived Types

Class Documentation

class TermStructure

Abstract base class representing a term structure of rates.

A TermStructure provides methods to retrieve term and forward estimates or rates as a function of time. Derived classes must implement the term_estimate function.

Subclassed by otyca::PieceWiseTermStructure, otyca::YieldCurve

Public Functions

virtual Estimate term_estimate(double t) const = 0

Pure virtual function to get the term estimate at a given time.

This function must be implemented by subclasses to return an Estimate for the rate at time t.

Parameters:

t – The time at which to evaluate the term estimate.

Returns:

An Estimate object representing the rate at time t.

inline double term_rate(double t) const

Returns the term rate (value of the term estimate) at a given time.

This is a convenience method that calls term_estimate(t) and returns its value.

Parameters:

t – The time at which to evaluate the term rate.

Returns:

The rate value at time t.

virtual Estimate forward_estimate(double t1, double t2) const

Virtual function to get the forward estimate between two times.

Subclasses may override this method to provide a custom forward estimate. The default implementation may be based on numerical differentiation or interpolated/extrapolated logic.

Parameters:

  • t1 – The start time.

  • t2 – The end time.

Returns:

An Estimate object representing the forward rate between t1 and t2.

inline double forward_rate(double t1, double t2) const

Returns the forward rate (value of the forward estimate) between two times.

This is a convenience method that calls forward_estimate(t1, t2) and returns its value.

Parameters:

  • t1 – The start time.

  • t2 – The end time.

Returns:

The forward rate value between t1 and t2.