DriftTermStructure Class Reference

#include <ql/TermStructures/drifttermstructure.hpp>

Inheritance diagram for DriftTermStructure:

Inheritance graph
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List of all members.

Detailed Description

Drift term structure.

Drift term structure for modelling the common drift term: riskFreeRate - dividendYield - 0.5*vol*vol

Note:
This term structure will remain linked to the original structures, i.e., any changes in the latters will be reflected in this structure as well.


Public Member Functions

 DriftTermStructure (const RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< TermStructure > &dividendTS, const RelinkableHandle< BlackVolTermStructure > &blackVolTS)
TermStructure interface
DayCounter dayCounter () const
 the day counter used for date/time conversion

Date todaysDate () const
 today's date

Date referenceDate () const
 the reference date, i.e., the date at which discount = 1

Date maxDate () const
 the latest date for which the curve can return rates

Observer interface
void update ()

Protected Member Functions

Rate zeroYieldImpl (Time, bool extrapolate=false) const
 returns the discount factor as seen from the evaluation date


Member Function Documentation

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.


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