ZeroYieldStructure Class Reference

#include <ql/termstructure.hpp>

Inheritance diagram for ZeroYieldStructure:

Inheritance graph
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List of all members.

Detailed Description

Zero yield term structure.

This abstract class acts as an adapter to TermStructure allowing the programmer to implement only the zeroYieldImpl(Time, bool) method in derived classes.

Rates are assumed to be annual continuos compounding.


Protected Member Functions

DiscountFactor discountImpl (Time, bool extrapolate=false) const
Rate forwardImpl (Time, bool extrapolate=false) const
Rate compoundForwardImpl (Time, int, bool extrapolate=false) const


Member Function Documentation

DiscountFactor discountImpl Time  ,
bool  extrapolate = false
const [protected, virtual]
 

Returns the discount factor for the given date calculating it from the zero yield.

Implements TermStructure.

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

Returns the instantaneous forward rate for the given date calculating it from the zero yield.

Implements TermStructure.

Reimplemented in ZeroSpreadedTermStructure.

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.

Implements TermStructure.


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