InterestRate (3) - Linux Manuals
InterestRate: Concrete interest rate class.
NAME
QuantLib::InterestRate - Concrete interest rate class.
SYNOPSIS
#include <ql/interestrate.hpp>
Public Member Functions
constructors
InterestRate ()
Default constructor returning a null interest rate.
InterestRate (Rate r, const DayCounter &dc=Actual365Fixed(), Compounding comp=Continuous, Frequency freq=Annual)
Standard constructor.
conversions
operator Rate () const
inspectors
Rate rate () const
const DayCounter & dayCounter () const
Compounding compounding () const
Frequency frequency () const
discount/compound factor calculations
DiscountFactor discountFactor (Time t) const
discount factor implied by the rate compounded at time t.
DiscountFactor discountFactor (const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date()) const
discount factor implied by the rate compounded between two dates
Real compoundFactor (Time t) const
compound factor implied by the rate compounded at time t.
Real compoundFactor (const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date()) const
compound factor implied by the rate compounded between two dates
equivalent rate calculations
InterestRate equivalentRate (Time t, Compounding comp, Frequency freq=Annual) const
equivalent interest rate for a compounding period t.
InterestRate equivalentRate (Date d1, Date d2, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual) const
equivalent rate for a compounding period between two dates
Static Public Member Functions
implied rate calculations
static InterestRate impliedRate (Real compound, Time t, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual)
implied interest rate for a given compound factor at a given time.
static InterestRate impliedRate (Real compound, const Date &d1, const Date &d2, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual)
implied rate for a given compound factor between two dates.
Related Functions
(Note that these are not member functions.)std::ostream & operator<< (std::ostream &, const InterestRate &)
Detailed Description
Concrete interest rate class.
This class encapsulate the interest rate compounding algebra. It manages day-counting conventions, compounding conventions, conversion between different conventions, discount/compound factor calculations, and implied/equivalent rate calculations.
Tests
- Converted rates are checked against known good results
Examples:
CallableBonds.cpp, and FittedBondCurve.cpp.
Member Function Documentation
DiscountFactor discountFactor (Time t) const
discount factor implied by the rate compounded at time t.
Warning
- Time must be measured using InterestRate's own day counter.
Real compoundFactor (Time t) const
compound factor implied by the rate compounded at time t.
returns the compound (a.k.a capitalization) factor implied by the rate compounded at time t.
Warning
- Time must be measured using InterestRate's own day counter.
Real compoundFactor (const Date & d1, const Date & d2, const Date & refStart = Date(), const Date & refEnd = Date()) const
compound factor implied by the rate compounded between two dates
returns the compound (a.k.a capitalization) factor implied by the rate compounded between two dates.
static InterestRate impliedRate (Real compound, Time t, const DayCounter & resultDC, Compounding comp, Frequency freq = Annual) [static]
implied interest rate for a given compound factor at a given time.
The resulting InterestRate has the day-counter provided as input.
Warning
- Time must be measured using the day-counter provided as input.
static InterestRate impliedRate (Real compound, const Date & d1, const Date & d2, const DayCounter & resultDC, Compounding comp, Frequency freq = Annual) [static]
implied rate for a given compound factor between two dates.
The resulting rate is calculated taking the required day-counting rule into account.
InterestRate equivalentRate (Time t, Compounding comp, Frequency freq = Annual) const
equivalent interest rate for a compounding period t.
The resulting InterestRate shares the same implicit day-counting rule of the original InterestRate instance.
Warning
- Time must be measured using the InterestRate's own day counter.
InterestRate equivalentRate (Date d1, Date d2, const DayCounter & resultDC, Compounding comp, Frequency freq = Annual) const
equivalent rate for a compounding period between two dates
The resulting rate is calculated taking the required day-counting rule into account.
Friends And Related Function Documentation
std::ostream & operator<< (std::ostream &, const InterestRate &) [related]
Author
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