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QuantLib_YieldTermStructure

NAME

QuantLib::YieldTermStructure -

Interest-rate term structure.

SYNOPSIS

#include <ql/termstructures/yieldtermstructure.hpp>

Inherits QuantLib::TermStructure.

Inherited by FittedBondDiscountCurve, FlatForward, ForwardRateStructure, ImpliedTermStructure, InterpolatedDiscountCurve< Interpolator >, and ZeroYieldStructure.

Public Member Functions

Constructors

 See the TermStructure documentation for issues regarding constructors. 

YieldTermStructure (const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

Discount factors

 These methods return the discount factor from a given date or time to the reference date. In the latter case, the time is calculated as a fraction of year from the reference date. 

DiscountFactor discount (const Date &d, bool extrapolate=false) const

DiscountFactor discount (Time t, bool extrapolate=false) const

Zero-yield rates

 These methods return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date. 

InterestRate zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

Forward rates

 These methods returns the forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date.

If both dates (times) are equal the instantaneous forward rate is returned.

InterestRate forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

InterestRate forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const

Jump inspectors

 

const std::vector< Date > & jumpDates () const

const std::vector< Time > & jumpTimes () const

Observer interface

 

void update ()

Protected Member Functions

Calculations

 This method must be implemented in derived classes to perform the actual calculations. When it is called, range check has already been performed; therefore, it must assume that extrapolation is required. 

virtual DiscountFactor discountImpl (Time) const =0
discount factor calculation

Detailed Description

Interest-rate term structure.

This abstract class defines the interface of concrete interest rate structures which will be derived from this one.

Tests

observability against evaluation date changes is checked.

Examples:

FittedBondCurve.cpp.

Member Function Documentation

DiscountFactor discount (Time t, bool extrapolate = false) constThe same day-counting rule used by the term structure should be used for calculating the passed time t.

InterestRate zeroRate (const Date & d, const DayCounter & resultDayCounter, Compounding comp, Frequency freq = Annual, bool extrapolate = false) constThe resulting interest rate has the required daycounting rule.

InterestRate zeroRate (Time t, Compounding comp, Frequency freq = Annual, bool extrapolate = false) constThe resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed time t.

InterestRate forwardRate (const Date & d1, const Date & d2, const DayCounter & resultDayCounter, Compounding comp, Frequency freq = Annual, bool extrapolate = false) constThe resulting interest rate has the required day-counting rule.

InterestRate forwardRate (const Date & d, const Period & p, const DayCounter & resultDayCounter, Compounding comp, Frequency freq = Annual, bool extrapolate = false) constThe resulting interest rate has the required day-counting rule.

Warning

dates are not adjusted for holidays

InterestRate forwardRate (Time t1, Time t2, Compounding comp, Frequency freq = Annual, bool extrapolate = false) constThe resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed times t1 and t2.

Author

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