QuantLib_ZeroYieldStructure (3) Linux Manual Page

QuantLib::ZeroYieldStructure – Zero-yield term structure.

Synopsis

#include <ql/termstructures/yield/zeroyieldstructure.hpp>

Inherits QuantLib::YieldTermStructure.

Inherited by DriftTermStructure, InterpolatedZeroCurve< Interpolator >, PiecewiseZeroSpreadedTermStructure, QuantoTermStructure, and ZeroSpreadedTermStructure.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

ZeroYieldStructure (const DayCounter &dc=DayCounter())

ZeroYieldStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())

ZeroYieldStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())

Protected Member Functions

YieldTermStructure implementation

DiscountFactor discountImpl (Time) const

virtual Rate zeroYieldImpl (Time) const =0
zero-yield calculation

Detailed Description

Zero-yield term structure.

This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the zeroYieldImpl(Time, bool) method in derived classes. Discount and forward are calculated from zero yields.

Rates are assumed to be annual continuous compounding.

Member Function Documentation

DiscountFactor discountImpl (Time t) const [protected, virtual]

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

Implements YieldTermStructure.

Author

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