QuantLib_DriftTermStructure (3) - Linux Man Pages

QuantLib_DriftTermStructure: Drift term structure.

NAME

QuantLib::DriftTermStructure - Drift term structure.

SYNOPSIS


#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

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.

Author

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