ZeroYieldStructure Class Reference
[Term structures]

#include <ql/TermStructures/zeroyieldstructure.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 YieldTermStructure allowing the programmer to implement only the zeroYieldImpl(Time, bool) method in derived classes. Discount and forward are calculated from zero yields.

Rates are assumed to be annual continuous compounding.


Public Member Functions

Constructors
See the BaseTermStructure documentation for issues regarding constructors.

 ZeroYieldStructure (const Date &todaysDate, const Date &referenceDate)
 ZeroYieldStructure ()
 ZeroYieldStructure (const Date &referenceDate)
 ZeroYieldStructure (Integer settlementDays, const Calendar &)

Protected Member Functions

YieldTermStructure implementation
DiscountFactor discountImpl (Time) const
virtual Rate zeroYieldImpl (Time) const =0
 zero-yield calculation
Rate forwardImpl (Time) const
Rate compoundForwardImpl (Time, Integer) const


Constructor & Destructor Documentation

ZeroYieldStructure const Date todaysDate,
const Date referenceDate
 

Deprecated:
use the constructor without today's date; set the evaluation date through Settings::instance().


Member Function Documentation

DiscountFactor discountImpl Time   )  const [protected, virtual]
 

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

Implements YieldTermStructure.

Rate forwardImpl Time   )  const [protected, virtual]
 

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

Implements YieldTermStructure.

Reimplemented in ZeroSpreadedTermStructure.

Rate compoundForwardImpl Time  ,
Integer 
const [protected, virtual]
 

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

Implements YieldTermStructure.


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