DiscountStructure Class Reference
[Term structures]

#include <ql/termstructure.hpp>

Inheritance diagram for DiscountStructure:

Inheritance graph
[legend]
List of all members.

Detailed Description

Discount factor term structure.

This abstract class acts as an adapter to TermStructure allowing the programmer to implement only the discountImpl(const Date&, bool) method in derived classes.

Rates are assumed to be annual continuous compounding.


Protected Member Functions

Rate zeroYieldImpl (Time) const
Rate forwardImpl (Time) const
Rate compoundForwardImpl (Time, Integer) const


Member Function Documentation

Rate zeroYieldImpl Time   )  const [protected, virtual]
 

Returns the zero yield rate for the given date calculating it from the discount.

Implements TermStructure.

Rate forwardImpl Time   )  const [protected, virtual]
 

Returns the instantaneous forward rate for the given date calculating it from the discount.

Implements TermStructure.

Rate compoundForwardImpl Time  ,
Integer 
const [protected, virtual]
 

Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.

Implements TermStructure.

Reimplemented in ExtendedDiscountCurve.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen