QuantLib 0.3.8
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Reference manual
DiscountCurve Class Reference
[Term structures]
#include <ql/TermStructures/discountcurve.hpp>
Inheritance diagram for DiscountCurve:
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) | |
| DiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter) | |
| 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 | |
| DayCounter | dayCounter_ |
| std::vector< Date > | dates_ |
| std::vector< DiscountFactor > | discounts_ |
| std::vector< Time > | times_ |
| Interpolation | interpolation_ |
Constructor & Destructor Documentation
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