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 BusinessDayConvention conv, const DayCounter &dayCounter) |
| ExtendedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const Calendar &calendar, const BusinessDayConvention conv, const DayCounter &dayCounter) |
Calendar | calendar () const |
| the calendar used for reference date calculation
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BusinessDayConvention | businessDayConvention () const |
void | update () |
Protected Member Functions |
Rate | compoundForwardImpl (Time, Integer) const |
void | calibrateNodes () const |
boost::shared_ptr< YieldTermStructure > | reversebootstrap (Integer) const |
boost::shared_ptr< YieldTermStructure > | forwardCurve (Integer) const |
Constructor & Destructor Documentation
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.
Reimplemented from BaseTermStructure. |
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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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