QuantLib_InterpolatedDiscountCurve (3) - Linux Manuals

QuantLib_InterpolatedDiscountCurve: Term structure based on interpolation of discount factors.


QuantLib::InterpolatedDiscountCurve - Term structure based on interpolation of discount factors.


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

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

Inherited by ExtendedDiscountCurve.

Public Member Functions

InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const Interpolator &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< DiscountFactor > & discounts () const

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

Protected Member Functions

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

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

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

DiscountFactor discountImpl (Time) const
discount calculation

Protected Attributes

std::vector< Date > dates_

std::vector< Time > times_

std::vector< DiscountFactor > data_

Interpolation interpolation_

Interpolator interpolator_

Detailed Description

template<class Interpolator> class QuantLib::InterpolatedDiscountCurve< Interpolator >

Term structure based on interpolation of discount factors.


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