QuantLib_DriftTermStructure (3) - Linux Manuals

QuantLib_DriftTermStructure: Drift term structure.


QuantLib::DriftTermStructure - Drift term structure.


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

Inherits QuantLib::ZeroYieldStructure.

Public Member Functions

DriftTermStructure (const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< BlackVolTermStructure > &blackVolTS)

YieldTermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
Calendar calendar () const
the calendar used for reference and/or option date calculation
Natural settlementDays () const
the settlementDays used for reference 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

Rate zeroYieldImpl (Time) const
returns the discount factor as seen from the evaluation date

Detailed Description

Drift term structure.

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


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.


Generated automatically by Doxygen for QuantLib from the source code.