DiscountCurve Class Reference#include <ql/TermStructures/discountcurve.hpp>
Inheritance diagram for DiscountCurve:
[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.
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Public Member Functions |
| DiscountCurve (const Date &todaysDate, const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter=Actual365()) |
Date | todaysDate () const |
| today's date
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Date | referenceDate () const |
| the reference date, i.e., the date at which discount = 1
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DayCounter | dayCounter () const |
| the day counter used for date/time conversion
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Date | maxDate () const |
| the latest date for which the curve can return rates
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Time | maxTime () const |
| the latest time for which the curve can return rates
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const std::vector< Time > & | times () const |
const std::vector< Date > & | dates () const |
const std::vector< DiscountFactor > & | discounts () const |
Protected Member Functions |
DiscountFactor | discountImpl (Time, bool extrapolate=false) const |
| discount calculation
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int | referenceNode (Time, bool extrapolate=false) const |
Protected Attributes |
Date | todaysDate_ |
Date | referenceDate_ |
DayCounter | dayCounter_ |
std::vector< Date > | dates_ |
std::vector< DiscountFactor > | discounts_ |
std::vector< Time > | times_ |
Interpolation | interpolation_ |
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