QuantLib_ExtendedDiscountCurve (3) Linux Manual Page
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) constRate 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.