QuantLib 0.3.8 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Configuration Usage Frequently asked questions Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

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. Public Member Functions   ExtendedDiscountCurve (const Date &todaysDate, const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const Calendar &calendar, const BusinessDayConvention conv, const DayCounter &dayCounter)   ExtendedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const Calendar &calendar, const BusinessDayConvention conv, const DayCounter &dayCounter) Calendar  calendar () const   the calendar used for reference date calculation BusinessDayConvention  businessDayConvention () const void  update () Protected Member Functions Rate  compoundForwardImpl (Time, Integer) const void  calibrateNodes () const boost::shared_ptr< YieldTermStructure >  reversebootstrap (Integer) const boost::shared_ptr< YieldTermStructure >  forwardCurve (Integer) const Constructor & Destructor Documentation ExtendedDiscountCurve (  const Date &  todaysDate, const std::vector< Date > &  dates, const std::vector< DiscountFactor > &  dfs, const Calendar &  calendar, const BusinessDayConvention  conv, const DayCounter &  dayCounter )    Deprecated: use the constructor without today's date 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. Reimplemented from BaseTermStructure. 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. Reimplemented from DiscountStructure.

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