DiscountStructure Class Reference#include <termstructure.hpp>
Inheritance diagram for DiscountStructure:
[legend]List of all members.
Detailed Description
Discount factor term structure.
This abstract class acts as an adapter to TermStructure allowing the programmer to implement only the discountImpl(const Date&, bool) method in derived classes.
Rates are assumed to be annual continuos compounding.
Member Function Documentation
Rate zeroYieldImpl |
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Time |
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bool |
extrapolate = false |
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const [protected, virtual] |
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Returns the zero yield rate for the given date calculating it from the discount.
Implements TermStructure. |
Rate forwardImpl |
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Time |
, |
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bool |
extrapolate = false |
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const [protected, virtual] |
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Returns the instantaneous forward rate for the given date calculating it from the discount.
Implements TermStructure. |
Rate compoundForwardImpl |
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Time |
, |
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int |
, |
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bool |
extrapolate = false |
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const [protected, virtual] |
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Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.
Implements TermStructure.
Reimplemented in ExtendedDiscountCurve. |
The documentation for this class was generated from the following file:
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