ZeroYieldStructure Class Reference#include <termstructure.hpp>
Inheritance diagram for ZeroYieldStructure:
[legend]List of all members.
Detailed Description
Zero yield term structure.
This abstract class acts as an adapter to TermStructure allowing the programmer to implement only the zeroYieldImpl(Time, bool) method in derived classes.
Rates are assumed to be annual continuos compounding.
Member Function Documentation
DiscountFactor discountImpl |
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Time |
, |
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bool |
extrapolate = false |
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) |
const [protected, virtual] |
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Returns the discount factor for the given date calculating it from the zero yield.
Implements TermStructure. |
Rate forwardImpl |
( |
Time |
, |
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bool |
extrapolate = false |
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) |
const [protected, virtual] |
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Rate compoundForwardImpl |
( |
Time |
, |
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int |
, |
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bool |
extrapolate = false |
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) |
const [protected, virtual] |
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Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.
Implements TermStructure. |
The documentation for this class was generated from the following file:
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