ExtendedDiscountCurve Class Reference#include <ql/TermStructures/extendeddiscountcurve.hpp>
Inheritance diagram for ExtendedDiscountCurve:
[legend]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.
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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 |
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void | update () |
Protected Member Functions |
void | calibrateNodes () const |
Handle< TermStructure > | reversebootstrap (int) const |
Rate | compoundForwardImpl (Time, int, bool extrapolate=false) const |
Handle< TermStructure > | forwardCurve (int) const |
Member Function Documentation
void update |
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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 |
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Time |
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int |
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bool |
extrapolate = false |
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const [protected, virtual] |
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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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