ExtendedDiscountCurve Class Reference

#include <ql/termstructures/yieldcurves/extendeddiscountcurve.hpp>

Inheritance diagram for ExtendedDiscountCurve:

Inheritance graph
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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 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< CompoundForwardreversebootstrap (Integer) const
boost::shared_ptr< CompoundForwardforwardCurve (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.