ZeroCurve Class Reference#include <zerocurve.hpp>
Inheritance diagram for ZeroCurve:
[legend]List of all members.
Detailed Description
Term structure based on linear interpolation of zero yields.
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Public Member Functions |
| ZeroCurve (const Date &todaysDate, const std::vector< Date > &dates, const std::vector< Rate > &yields, const DayCounter &dayCounter=DayCounters::Actual365()) |
DayCounter | dayCounter () const |
| returns the day counter
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Date | todaysDate () const |
| returns today's date
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Date | referenceDate () const |
| returns the reference date, i.e., the date at which discount = 1
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const std::vector< Date > & | dates () const |
Date | maxDate () const |
| returns the latest date for which the curve can return rates
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const std::vector< Time > & | times () const |
Time | maxTime () const |
| returns the latest date for which the curve can return rates
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Protected Member Functions |
Rate | zeroYieldImpl (Time t, bool extrapolate=false) const |
| implements the actual zero yield calculation in derived classes
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The documentation for this class was generated from the following files:
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