DiscountStructure Class Reference
[Term structures]

#include <ql/TermStructures/discountstructure.hpp>

Inheritance diagram for DiscountStructure:

Inheritance graph
[legend]
List of all members.

Detailed Description

Discount factor term structure.

This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the discountImpl(const Date&, bool) method in derived classes. Zero yield and forward are calculated from discounts.

Rates are assumed to be annual continuous compounding.

Deprecated:
use YieldTermStructure instead


Public Member Functions

Constructors
See the BaseTermStructure documentation for issues regarding constructors.

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

Protected Member Functions

YieldTermStructure implementation
Rate zeroYieldImpl (Time) const
Rate forwardImpl (Time) const
virtual Rate compoundForwardImpl (Time, Integer) const


Member Function Documentation

Rate zeroYieldImpl Time   )  const [protected, virtual]
 

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

Implements YieldTermStructure.

Rate forwardImpl Time   )  const [protected, virtual]
 

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

Implements YieldTermStructure.

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.

Reimplemented in ExtendedDiscountCurve.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen