QuantLib_ExtendedDiscountCurve (3) - Linux Manuals

QuantLib_ExtendedDiscountCurve: Term structure based on loglinear interpolation of discount factors.

NAME

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

SYNOPSIS

#include <ql/legacy/termstructures/extendeddiscountcurve.hpp>

Inherits QuantLib::InterpolatedDiscountCurve< LogLinear >.

Public Member Functions

ExtendedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const Calendar &calendar, const BusinessDayConvention conv, const DayCounter &dayCounter)

BusinessDayConvention businessDayConvention () const

void update ()

Rate compoundForward (const Date &d1, Integer f, bool extrapolate=false) const

Rate compoundForward (Time t1, Integer f, bool extrapolate=false) const

Protected Member Functions

Rate compoundForwardImpl (Time, Integer) const

Rate zeroYieldImpl (Time) const

void calibrateNodes () const

boost::shared_ptr< CompoundForward > reversebootstrap (Integer) const

boost::shared_ptr< CompoundForward > forwardCurve (Integer) const

Detailed Description

Term structure based on loglinear interpolation of discount factors.

Loglinear interpolation guarantees piecewise constant forward rates.

Rates are assumed to be annual continuos compounding.

Member Function Documentation

void update () [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.

Rate compoundForwardImpl (Time, Integer) const [protected]

Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.

Rate zeroYieldImpl (Time) const [protected]

Returns the zero yield rate for the given date calculating it from the discount.

Author

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