TermStructure Class Reference

#include <termstructure.hpp>

Inheritance diagram for TermStructure:

Inheritance graph
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List of all members.

Detailed Description

Term structure.

This abstract class defines the interface of concrete rate structures which will be derived from this one.

Rates are assumed to be annual continuos compounding.

Todo:
add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure

allow for different compounding rules and compounding frequencies


Public Member Functions

Rates and discount
Rate zeroYield (const Date &, bool extrapolate=false) const
 zero yield rate at a given date

Rate zeroYield (Time, bool extrapolate=false) const
 zero yield rate at a given time from reference

DiscountFactor discount (const Date &, bool extrapolate=false) const
 discount factor at a given date

DiscountFactor discount (Time, bool extrapolate=false) const
 discount factor at a given time from reference

Rate instantaneousForward (const Date &, bool extrapolate=false) const
 instantaneous forward rate at a given date

Rate instantaneousForward (Time, bool extrapolate=false) const
 instantaneous forward rate at a given time from reference

Rate compoundForward (const Date &, int, bool extrapolate=false) const
Rate compoundForward (Time, int, bool extrapolate=false) const
Rate forward (const Date &, const Date &, bool extrapolate=false) const
 discrete forward rate between two dates

Rate forward (Time, Time, bool extrapolate=false) const
 discrete forward rate between two times

Rate zeroCoupon (const Date &, int, bool extrapolate=false) const
 zero coupon rate at a given date

Rate zeroCoupon (Time, int, bool extrapolate=false) const
 zero coupon rate at a given time from settlement

Dates
virtual Date todaysDate () const=0
 returns today's date

virtual Date referenceDate () const=0
 returns the reference date, i.e., the date at which discount = 1

virtual DayCounter dayCounter () const=0
 returns the day counter

virtual Date maxDate () const=0
 returns the latest date for which the curve can return rates

virtual Time maxTime () const
 returns the latest date for which the curve can return rates


Protected Member Functions

virtual Rate zeroYieldImpl (Time, bool extrapolate=false) const=0
 implements the actual zero yield calculation in derived classes

virtual DiscountFactor discountImpl (Time, bool extrapolate=false) const=0
 implements the actual discount calculation in derived classes

virtual Rate forwardImpl (Time, bool extrapolate=false) const=0
 implements the actual forward rate calculation in derived classes

virtual Rate compoundForwardImpl (Time, int, bool extrapolate=false) const=0
 implements the actual compound forward rate calculation in derived classes


Member Function Documentation

Rate compoundForward const Date ,
int  ,
bool  extrapolate = false
const
 

instantaneous forward rate at a given date and compounding frequency

Rate compoundForward Time  ,
int  ,
bool  extrapolate = false
const
 

instantaneous forward rate at a given time from settlement and compounding frequency


The documentation for this class was generated from the following file:

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