ExtendedDiscountCurve Class Reference
#include <ql/termstructures/yieldcurves/extendeddiscountcurve.hpp>
Inheritance diagram for ExtendedDiscountCurve:

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 std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const Calendar &calendar, const BusinessDayConvention conv, const DayCounter &dayCounter) | |
BusinessDayConvention | businessDayConvention () const |
void | update () |
Rate | compoundForward (const Date &d1, Integer f, bool extrapolate=false) const |
Rate | compoundForward (Time t1, Integer f, bool extrapolate=false) const |
Protected Member Functions | |
Rate | compoundForwardImpl (Time, Integer) const |
Rate | zeroYieldImpl (Time) const |
void | calibrateNodes () const |
boost::shared_ptr< CompoundForward > | reversebootstrap (Integer) const |
boost::shared_ptr< CompoundForward > | forwardCurve (Integer) const |
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 TermStructure.
Rate compoundForwardImpl | ( | Time | , | |
Integer | ||||
) | const [protected] |
Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.
Rate zeroYieldImpl | ( | Time | ) | const [protected] |
Returns the zero yield rate for the given date calculating it from the discount.