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YieldTermStructure Class Reference |
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
YieldTermStructure () | |
default constructor | |
YieldTermStructure (const Date &referenceDate) | |
initialize with a fixed reference date | |
YieldTermStructure (Integer settlementDays, const Calendar &) | |
calculate the reference date based on the global evaluation date | |
zero-yield rates | |
These methods return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date. | |
InterestRate | zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
discount factors | |
These methods return the discount factor for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date. | |
DiscountFactor | discount (const Date &, bool extrapolate=false) const |
DiscountFactor | discount (Time, bool extrapolate=false) const |
forward rates | |
These methods returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. | |
InterestRate | forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
par rates | |
These methods returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.
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Rate | parRate (Integer tenor, const Date &startDate, Frequency freq=Annual, bool extrapolate=false) const |
Rate | parRate (const std::vector< Date > &dates, Frequency freq=Annual, bool extrapolate=false) const |
Rate | parRate (const std::vector< Time > ×, Frequency freq=Annual, bool extrapolate=false) const |
Rate | parRate (Year tenor, Time t0, Frequency freq=Annual, bool extrapolate=false) const |
Dates | |
virtual Date | maxDate () const =0 |
the latest date for which the curve can return rates | |
virtual Time | maxTime () const |
the latest time for which the curve can return rates | |
Protected Member Functions | |
Calculations | |
These methods must be implemented in derived classes to perform the actual discount and rate calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
virtual DiscountFactor | discountImpl (Time) const =0 |
discount calculation |
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default constructor
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The resulting interest rate has the required daycounting rule. |
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The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed time t. |
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The same day-counting rule used by the term structure should be used for calculating the passed time t. |
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The resulting interest rate has the required day-counting rule. |
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The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for the calculating the passed times t1 and t2. |
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the first date in the vector must equal the start date; the following dates must equal the payment dates. |
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the first time in the vector must equal the start time; the following times must equal the payment times. |
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