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QuantLib_InterpolatedForwardCurve
Langue: en
Version: 381236 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::InterpolatedForwardCurve -YieldTermStructure based on interpolation of forward rates.
SYNOPSIS
#include <ql/termstructures/yield/forwardcurve.hpp>
Inherits QuantLib::ForwardRateStructure, and QuantLib::InterpolatedCurve< Interpolator >.
Public Member Functions
InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)
InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator)
TermStructure interface
Date maxDate () const
other inspectors
const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< Real > & data () const
const std::vector< Rate > & forwards () const
std::vector< std::pair< Date, Real > > nodes () const
Protected Member Functions
InterpolatedForwardCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedForwardCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedForwardCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
ForwardRateStructure implementation
Rate forwardImpl (Time t) const
Rate zeroYieldImpl (Time t) const
Protected Attributes
std::vector< Date > dates_
Detailed Description
template<class Interpolator> class QuantLib::InterpolatedForwardCurve< Interpolator >
YieldTermStructure based on interpolation of forward rates.Author
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