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QuantLib_InterpolatedDiscountCurve

NAME

QuantLib::InterpolatedDiscountCurve -

YieldTermStructure based on interpolation of discount factors.

SYNOPSIS

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

Inherits QuantLib::YieldTermStructure, and QuantLib::InterpolatedCurve< Interpolator >.

Public Member Functions

InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, 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())

InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)

InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, 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< DiscountFactor > & discounts () const

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

Protected Member Functions

InterpolatedDiscountCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

InterpolatedDiscountCurve (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())

InterpolatedDiscountCurve (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())

YieldTermStructure implementation

 

DiscountFactor discountImpl (Time) const

Protected Attributes

std::vector< Date > dates_

Detailed Description

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

YieldTermStructure based on interpolation of discount factors.

Author

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