DiscountCurve Class Reference

#include <discountcurve.hpp>

Inheritance diagram for DiscountCurve:

Inheritance graph
[legend]
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

 DiscountCurve (const Date &todaysDate, const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter=DayCounters::Actual365())
Date todaysDate () const
 returns today's date

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

DayCounter dayCounter () const
 returns the day counter

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

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

const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< DiscountFactor > & discounts () const

Protected Types

typedef Math::LogLinearInterpolation<
std::vector< Time >::const_iterator,
std::vector< DiscountFactor
>::const_iterator > 
DfInterpolation

Protected Member Functions

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

int referenceNode (Time, bool extrapolate=false) const

Protected Attributes

Date todaysDate_
Date referenceDate_
DayCounter dayCounter_
std::vector< Datedates_
std::vector< DiscountFactordiscounts_
std::vector< Timetimes_
Handle< DfInterpolation > interpolation_


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

QuantLib.org
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