ExtendedDiscountCurve Class Reference

#include <ql/TermStructures/extendeddiscountcurve.hpp>

Inheritance diagram for ExtendedDiscountCurve:

Inheritance graph
[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.


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
BusinessDayConvention businessDayConvention () const
void update ()

Protected Member Functions

Rate compoundForwardImpl (Time, Integer) const
void calibrateNodes () const
boost::shared_ptr< YieldTermStructurereversebootstrap (Integer) const
boost::shared_ptr< YieldTermStructureforwardCurve (Integer) const


Constructor & Destructor Documentation

ExtendedDiscountCurve const Date todaysDate,
const std::vector< Date > &  dates,
const std::vector< DiscountFactor > &  dfs,
const Calendar calendar,
const BusinessDayConvention  conv,
const DayCounter dayCounter
 

Deprecated:
use the constructor without today's date


Member Function Documentation

void update  )  [virtual]
 

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.

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.

Reimplemented from DiscountStructure.


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