QuantLib::InterpolatedZeroCurve - Term structure based on interpolation of zero yields.


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

Inherits QuantLib::ZeroYieldStructure, and boost::noncopyable.

Public Member Functions

InterpolatedZeroCurve (const std::vector< Date > &dates, const std::vector< Rate > &yields, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator())


std::vector< Date > dates_

std::vector< Time > times_

std::vector< Rate > data_

Interpolation interpolation_

Interpolator interpolator_

Date maxDate () const
the latest date for which the curve can return values
const std::vector< Time > & times () const

const std::vector< Date > & dates () const

const std::vector< Rate > & zeroRates () const

std::vector< std::pair< Date, Rate > > nodes () const

InterpolatedZeroCurve (const DayCounter &, const Interpolator &interpolator=Interpolator())

InterpolatedZeroCurve (const Date &referenceDate, const DayCounter &, const Interpolator &interpolator=Interpolator())

InterpolatedZeroCurve (Natural settlementDays, const Calendar &, const DayCounter &, const Interpolator &interpolator=Interpolator())

Rate zeroYieldImpl (Time t) const
zero-yield calculation

Detailed Description

template<class Interpolator> class QuantLib::InterpolatedZeroCurve< Interpolator >

Term structure based on interpolation of zero yields.


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