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.
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Public Member Functions |
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Rate | zeroYield (const Date &, bool extrapolate=false) const |
| zero yield rate at a given date
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Rate | zeroYield (Time, bool extrapolate=false) const |
| zero yield rate at a given time from reference
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DiscountFactor | discount (const Date &, bool extrapolate=false) const |
| discount factor at a given date
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DiscountFactor | discount (Time, bool extrapolate=false) const |
| discount factor at a given time from reference
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Rate | instantaneousForward (const Date &, bool extrapolate=false) const |
| instantaneous forward rate at a given date
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Rate | instantaneousForward (Time, bool extrapolate=false) const |
| instantaneous forward rate at a given time from reference
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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
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Rate | forward (Time, Time, bool extrapolate=false) const |
| discrete forward rate between two times
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Rate | zeroCoupon (const Date &, int, bool extrapolate=false) const |
| zero coupon rate at a given date
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Rate | zeroCoupon (Time, int, bool extrapolate=false) const |
| zero coupon rate at a given time from settlement
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virtual Date | todaysDate () const=0 |
| returns today's date
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virtual Date | referenceDate () const=0 |
| returns the reference date, i.e., the date at which discount = 1
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virtual DayCounter | dayCounter () const=0 |
| returns the day counter
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virtual Date | maxDate () const=0 |
| returns the latest date for which the curve can return rates
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virtual Time | maxTime () const |
| returns the latest date for which the curve can return rates
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Protected Member Functions |
virtual Rate | zeroYieldImpl (Time, bool extrapolate=false) const=0 |
| implements the actual zero yield calculation in derived classes
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virtual DiscountFactor | discountImpl (Time, bool extrapolate=false) const=0 |
| implements the actual discount calculation in derived classes
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virtual Rate | forwardImpl (Time, bool extrapolate=false) const=0 |
| implements the actual forward rate calculation in derived classes
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virtual Rate | compoundForwardImpl (Time, int, bool extrapolate=false) const=0 |
| implements the actual compound forward rate calculation in derived classes
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