DriftTermStructure Class Reference

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

Inheritance diagram for DriftTermStructure:

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List of all members.

Detailed Description

Drift term structure.

Drift term structure for modelling the common drift term: riskFreeRate - dividendYield - 0.5*vol*vol

Note:
This term structure will remain linked to the original structures, i.e., any changes in the latters will be reflected in this structure as well.


Public Member Functions

 DriftTermStructure (const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< BlackVolTermStructure > &blackVolTS)
YieldTermStructure interface
DayCounter dayCounter () const
 the day counter used for date/time conversion
Calendar calendar () const
 the calendar used for reference date calculation
const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0
Date maxDate () const
 the latest date for which the curve can return values

Protected Member Functions

Rate zeroYieldImpl (Time) const
 returns the discount factor as seen from the evaluation date