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YieldTermStructure Class Reference |
Public Member Functions | |
virtual DayCounter | dayCounter () const =0 |
the day counter used for date/time conversion | |
Constructors | |
See the BaseTermStructure documentation for issues regarding constructors. | |
YieldTermStructure (const Date &todaysDate, const Date &referenceDate) | |
initialize with a fixed today's date and reference date | |
YieldTermStructure () | |
default constructor | |
YieldTermStructure (const Date &referenceDate) | |
initialize with a fixed reference date | |
YieldTermStructure (Integer settlementDays, const Calendar &) | |
calculate the reference date based on the global evaluation date | |
zero rates | |
These methods are either function of dates or times. In the latter case, times are calculated as fraction of year from the reference date. | |
Rate | zeroYield (const Date &, bool extrapolate=false) const |
zero-yield rate | |
Rate | zeroYield (Time t, bool extrapolate=false) const |
zero-yield rate | |
Rate | zeroCoupon (const Date &, Integer, bool extrapolate=false) const |
zero-coupon rate | |
Rate | zeroCoupon (Time, Integer, bool extrapolate=false) const |
zero-coupon rate | |
InterestRate | zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
zero-yield rate | |
InterestRate | zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
zero-yield rate | |
discount factors | |
These methods are either function of dates or times. In the latter case, times are calculated as fraction of year from the reference date. | |
DiscountFactor | discount (const Date &, bool extrapolate=false) const |
discount factor | |
DiscountFactor | discount (Time, bool extrapolate=false) const |
discount factor | |
forward rates | |
These methods are either function of dates or times. In the latter case, times are calculated as fraction of year from the reference date. | |
Rate | compoundForward (const Date &d1, Integer f, bool extrapolate=false) const |
instantaneous forward rate at a given compounding frequency | |
Rate | compoundForward (Time t1, Integer f, bool extrapolate=false) const |
instantaneous forward rate at a given compounding frequency | |
Rate | instantaneousForward (const Date &, bool extrapolate=false) const |
instantaneous forward rate | |
Rate | instantaneousForward (Time, bool extrapolate=false) const |
instantaneous forward rate | |
Rate | forward (const Date &d1, const Date &d2, bool extrapolate=false) const |
discrete forward rate between two dates | |
Rate | forward (Time, Time, bool extrapolate=false) const |
discrete forward rate between two times | |
InterestRate | forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
forward interest rate | |
InterestRate | forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
forward interest rate | |
par rates | |
These methods are either function of dates or times. In the latter case, times are calculated as fraction of year from the reference date. | |
Rate | parRate (Year tenor, const Date &effectiveDate, Frequency freq=Annual, bool extrapolate=false) const |
par rate | |
Rate | parRate (Year tenor, Time t0, Frequency freq=Annual, bool extrapolate=false) const |
par rate | |
Dates | |
virtual Date | maxDate () const =0 |
the latest date for which the curve can return rates | |
virtual Time | maxTime () const |
the latest time for which the curve can return rates | |
Protected Member Functions | |
Calculations | |
These methods must be implemented in derived classes to perform the actual discount and rate calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
virtual DiscountFactor | discountImpl (Time) const =0 |
discount calculation | |
virtual Rate | zeroYieldImpl (Time) const =0 |
zero-yield calculation | |
virtual Rate | forwardImpl (Time) const =0 |
instantaneous forward-rate calculation | |
virtual Rate | compoundForwardImpl (Time, Integer) const =0 |
compound forward-rate calculation |
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initialize with a fixed today's date and reference date
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default constructor
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zero-yield rate
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zero-yield rate
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zero-coupon rate
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zero-coupon rate
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zero-yield rate returns the implied zero-yield rate for a given date. The resulting InterestRate has the required daycounting rule. |
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zero-yield rate returns the implied zero-yield rate for a given time. The resulting InterestRate has the same day-counting rule used by the term structure. The same rule should be used for the calculating the time t. |
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instantaneous forward rate at a given compounding frequency
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instantaneous forward rate at a given compounding frequency
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instantaneous forward rate
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instantaneous forward rate
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discrete forward rate between two dates
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discrete forward rate between two times
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forward interest rate returns the implied forward interest rate between two dates The resulting interest rate has the required day-counting rule. |
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forward interest rate returns the implied forward interest rate between two times The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for the calculating the time t. |
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par rate returns the implied par rate of a stylised swap starting at the effective date with a given tenor.
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par rate returns the implied par rate of a stylised swap starting at the given time with a given tenor.
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