InterestRate Class Reference

#include <ql/interestrate.hpp>

List of all members.


Detailed Description

Concrete interest rate class.

This class encapsulate the interest rate compounding algebra. It manages day-counting conventions, compounding conventions, conversion between different conventions, discount/compound factor calculations, and implied/equivalent rate calculations.

Tests:
Converted rates are checked against known good results


Public Member Functions

constructors
 InterestRate ()
 Default constructor returning a null interest rate.
 InterestRate (Rate r, const DayCounter &dc, Compounding comp, Frequency freq=Annual)
 Standard constructor.
conversions
 operator Rate () const
inspectors
Rate rate () const
const DayCounterdayCounter () const
Compounding compounding () const
Frequency frequency () const
discount/compound factor calculations
DiscountFactor discountFactor (Time t) const
 discount factor implied by the rate compounded at time t.
DiscountFactor discountFactor (const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date()) const
 discount factor implied by the rate compounded between two dates
Real compoundFactor (Time t) const
 compound factor implied by the rate compounded at time t.
Real compoundFactor (const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date()) const
 compound factor implied by the rate compounded between two dates
equivalent rate calculations
InterestRate equivalentRate (Time t, Compounding comp, Frequency freq=Annual) const
 equivalent interest rate for a compounding period t.
InterestRate equivalentRate (Date d1, Date d2, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual) const
 equivalent rate for a compounding period between two dates

Static Public Member Functions

implied rate calculations
static InterestRate impliedRate (Real compound, Time t, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual)
 implied interest rate for a given compound factor at a given time.
static InterestRate impliedRate (Real compound, const Date &d1, const Date &d2, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual)
 implied rate for a given compound factor between two dates.

Related Functions

(Note that these are not member functions.)

std::ostream & operator<< (std::ostream &, const InterestRate &)


Member Function Documentation

DiscountFactor discountFactor Time  t  )  const
 

discount factor implied by the rate compounded at time t.

Warning:
Time must be measured using InterestRate's own day counter.

Real compoundFactor Time  t  )  const
 

compound factor implied by the rate compounded at time t.

returns the compound (a.k.a capitalization) factor implied by the rate compounded at time t.

Warning:
Time must be measured using InterestRate's own day counter.

Real compoundFactor const Date d1,
const Date d2,
const Date refStart = Date(),
const Date refEnd = Date()
const
 

compound factor implied by the rate compounded between two dates

returns the compound (a.k.a capitalization) factor implied by the rate compounded between two dates.

static InterestRate impliedRate Real  compound,
Time  t,
const DayCounter resultDC,
Compounding  comp,
Frequency  freq = Annual
[static]
 

implied interest rate for a given compound factor at a given time.

The resulting InterestRate has the day-counter provided as input.

Warning:
Time must be measured using the day-counter provided as input.

static InterestRate impliedRate Real  compound,
const Date d1,
const Date d2,
const DayCounter resultDC,
Compounding  comp,
Frequency  freq = Annual
[static]
 

implied rate for a given compound factor between two dates.

The resulting rate is calculated taking the required day-counting rule into account.

InterestRate equivalentRate Time  t,
Compounding  comp,
Frequency  freq = Annual
const
 

equivalent interest rate for a compounding period t.

The resulting InterestRate shares the same implicit day-counting rule of the original InterestRate instance.

Warning:
Time must be measured using the InterestRate's own day counter.

InterestRate equivalentRate Date  d1,
Date  d2,
const DayCounter resultDC,
Compounding  comp,
Frequency  freq = Annual
const
 

equivalent rate for a compounding period between two dates

The resulting rate is calculated taking the required day-counting rule into account.


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