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ExtendedDiscountCurve Class Reference#include <extendeddiscountcurve.hpp>
Inheritance diagram for ExtendedDiscountCurve: ![]() Detailed DescriptionTerm structure based on loglinear interpolation of discount factors.Loglinear interpolation guarantees piecewise constant forward rates. Rates are assumed to be annual continuos compounding.
Member Function Documentation
The documentation for this class was generated from the following files:
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