DiscountStructure Class Reference

#include <ql/termstructure.hpp>

Inheritance diagram for DiscountStructure:

Inheritance graph
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List of all members.

Detailed Description

Discount factor term structure.

This abstract class acts as an adapter to TermStructure allowing the programmer to implement only the discountImpl(const Date&, bool) method in derived classes.

Rates are assumed to be annual continuos compounding.


Protected Member Functions

Rate zeroYieldImpl (Time, bool extrapolate=false) const
Rate forwardImpl (Time, bool extrapolate=false) const
Rate compoundForwardImpl (Time, int, bool extrapolate=false) const


Member Function Documentation

Rate zeroYieldImpl Time  ,
bool  extrapolate = false
const [protected, virtual]
 

Returns the zero yield rate for the given date calculating it from the discount.

Implements TermStructure.

Rate forwardImpl Time  ,
bool  extrapolate = false
const [protected, virtual]
 

Returns the instantaneous forward rate for the given date calculating it from the discount.

Implements TermStructure.

Rate compoundForwardImpl Time  ,
int  ,
bool  extrapolate = false
const [protected, virtual]
 

Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.

Implements TermStructure.

Reimplemented in ExtendedDiscountCurve.


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