ExtendedDiscountCurve Class Reference

#include <ql/TermStructures/extendeddiscountcurve.hpp>

Inheritance diagram for ExtendedDiscountCurve:

Inheritance graph
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List of all members.

Detailed Description

Term structure based on loglinear interpolation of discount factors.

Loglinear interpolation guarantees piecewise constant forward rates.

Rates are assumed to be annual continuos compounding.


Public Member Functions

 ExtendedDiscountCurve (const Date &todaysDate, const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const Calendar &calendar, const RollingConvention roll, const DayCounter &dayCounter=Actual365())
Calendar calendar () const
RollingConvention roll () const
Observer interface
void update ()

Protected Member Functions

void calibrateNodes () const
Handle< TermStructurereversebootstrap (int) const
Rate compoundForwardImpl (Time, int, bool extrapolate=false) const
Handle< TermStructureforwardCurve (int) const


Member Function Documentation

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Rate compoundForwardImpl Time  ,
int  ,
bool  extrapolate = false
const [protected, virtual]
 

Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.

Reimplemented from DiscountStructure.


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