DiscountCurve Class Reference
[Term structures]

#include <ql/TermStructures/discountcurve.hpp>

Inheritance diagram for DiscountCurve:

Inheritance graph
[legend]
List of all members.

Detailed Description

Term structure based on loglinear interpolation of discount factors.

Loglinear interpolation guarantees piecewise constant forward rates.

Rates are assumed to be annual continuous compounding.


Public Member Functions

 DiscountCurve (const Date &todaysDate, const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter=Actual365())
Date todaysDate () const
 today's date

Date referenceDate () const
 the reference date, i.e., the date at which discount = 1

DayCounter dayCounter () const
 the day counter used for date/time conversion

Date maxDate () const
 the latest date for which the curve can return rates

Time maxTime () const
 the latest time for which the curve can return rates

const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< DiscountFactor > & discounts () const

Protected Member Functions

DiscountFactor discountImpl (Time) const
 discount calculation

Size referenceNode (Time) const

Protected Attributes

Date todaysDate_
Date referenceDate_
DayCounter dayCounter_
std::vector< Datedates_
std::vector< DiscountFactordiscounts_
std::vector< Timetimes_
Interpolation interpolation_


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