DiscountCurve Class Reference
[Term structures]

#include <ql/TermStructures/discountcurve.hpp>

Inheritance diagram for DiscountCurve:

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 continuous compounding.


Public Member Functions

 DiscountCurve (const Date &todaysDate, const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter)
 DiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter)
DayCounter dayCounter () const
 the day counter used for date/time conversion
Date maxDate () const
 the latest date for which the curve can return rates
Time maxTime () const
 the latest time for which the curve can return rates
const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< DiscountFactor > & discounts () const

Protected Member Functions

DiscountFactor discountImpl (Time) const
 discount calculation
Size referenceNode (Time) const

Protected Attributes

DayCounter dayCounter_
std::vector< Datedates_
std::vector< DiscountFactordiscounts_
std::vector< Timetimes_
Interpolation interpolation_


Constructor & Destructor Documentation

DiscountCurve const Date todaysDate,
const std::vector< Date > &  dates,
const std::vector< DiscountFactor > &  dfs,
const DayCounter dayCounter
 

Deprecated:
use the constructor without today's date.


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