QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

DriftTermStructure Class Reference #include <drifttermstructure.hpp> Inheritance diagram for DriftTermStructure: [legend]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   returns the day counter Date  todaysDate () const   returns today's date Date  referenceDate () const   returns the reference date, i.e., the date at which discount = 1 Date  maxDate () const   returns 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. The documentation for this class was generated from the following file: ql/TermStructures/drifttermstructure.hpp

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