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TermStructure Class Reference |
Public Member Functions | |
Rates and discount | |
These methods are either function of dates or times. In the latter case, times are calculated as fraction of year from the reference date. | |
Rate | zeroYield (const Date &, bool extrapolate=false) const |
zero-yield rate | |
Rate | zeroYield (Time, bool extrapolate=false) const |
zero-yield rate | |
DiscountFactor | discount (const Date &, bool extrapolate=false) const |
discount factor | |
DiscountFactor | discount (Time, bool extrapolate=false) const |
discount factor | |
Rate | instantaneousForward (const Date &, bool extrapolate=false) const |
instantaneous forward rate | |
Rate | instantaneousForward (Time, bool extrapolate=false) const |
instantaneous forward rate | |
Rate | compoundForward (const Date &, Integer, bool extrapolate=false) const |
instantaneous forward rate at a given compounding frequency | |
Rate | compoundForward (Time, Integer, bool extrapolate=false) const |
instantaneous forward rate at a given compounding frequency | |
Rate | forward (const Date &, const Date &, bool extrapolate=false) const |
discrete forward rate between two dates | |
Rate | forward (Time, Time, bool extrapolate=false) const |
discrete forward rate between two times | |
Rate | zeroCoupon (const Date &, Integer, bool extrapolate=false) const |
zero-coupon rate | |
Rate | zeroCoupon (Time, Integer, bool extrapolate=false) const |
zero-coupon rate | |
Dates | |
virtual Date | todaysDate () const =0 |
today's date | |
virtual Date | referenceDate () const =0 |
the reference date, i.e., the date at which discount = 1 | |
virtual DayCounter | dayCounter () const =0 |
the day counter used for date/time conversion | |
virtual Date | maxDate () const =0 |
the latest date for which the curve can return rates | |
virtual Time | maxTime () const |
the latest time for which the curve can return rates | |
Protected Member Functions | |
Calculations | |
These methods must be implemented in derived classes to perform the actual discount and rate calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
virtual Rate | zeroYieldImpl (Time) const =0 |
zero-yield calculation | |
virtual DiscountFactor | discountImpl (Time) const =0 |
discount calculation | |
virtual Rate | forwardImpl (Time) const =0 |
instantaneous forward-rate calculation | |
virtual Rate | compoundForwardImpl (Time, Integer) const =0 |
compound forward-rate calculation |
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