InterestRate Class Reference
#include <ql/interestrate.hpp>
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
- Examples:
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 DayCounter & | dayCounter () 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.
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.
Friends And Related Function Documentation
std::ostream & operator<< | ( | std::ostream & | , | |
const InterestRate & | ||||
) | [related] |