ExtendedDiscountCurve Class Reference#include <ql/TermStructures/extendeddiscountcurve.hpp>
Inheritance diagram for ExtendedDiscountCurve:
[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 continuos compounding.
Member Function Documentation
void update |
( |
|
) |
[virtual] |
|
|
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer. |
|
Returns the forward rate at a specified compound frequency for the given date calculating it from the zero yield.
Reimplemented from DiscountStructure. |
|