PiecewiseZeroSpreadedTermStructure (3) - Linux Man Pages
PiecewiseZeroSpreadedTermStructure: Term structure with an added vector of spreads on the zero-yield rate.
QuantLib::PiecewiseZeroSpreadedTermStructure - Term structure with an added vector of spreads on the zero-yield rate.
Public Member Functions
PiecewiseZeroSpreadedTermStructure (const Handle< YieldTermStructure > &, const std::vector< Handle< Quote > > &spreads, const std::vector< Date > &dates)
DayCounter dayCounter () const
the day counter used for date/time conversion
Natural settlementDays () const
the settlementDays used for reference date calculation
Calendar calendar () const
the calendar used for reference and/or option date calculation
const Date & referenceDate () const
the date at which discount = 1.0 and/or variance = 0.0
Date maxDate () const
the latest date for which the curve can return values
Protected Member Functions
Term structure with an added vector of spreads on the zero-yield rate.
The zero-yield spread at any given date is linearly interpolated between the input data.
- This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.
Member Function Documentation
void update () [protected, 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.
Reimplemented from TermStructure.
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