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

YieldTermStructure Class Reference [Term structures] #include <ql/termstructure.hpp> Inheritance diagram for YieldTermStructure: [legend]List of all members. Detailed Description Interest-rate term structure. This abstract class defines the interface of concrete rate structures which will be derived from this one. Rates are assumed to be annual continuous compounding. Todo: add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure Tests: observability against evaluation date changes is checked. Public Member Functions virtual DayCounter  dayCounter () const =0   the day counter used for date/time conversion Constructors See the BaseTermStructure documentation for issues regarding constructors.   YieldTermStructure (const Date &todaysDate, const Date &referenceDate)   initialize with a fixed today's date and reference date   YieldTermStructure ()   default constructor   YieldTermStructure (const Date &referenceDate)   initialize with a fixed reference date   YieldTermStructure (Integer settlementDays, const Calendar &)   calculate the reference date based on the global evaluation date zero rates These methods are either function of dates or times. In the latter case, times are calculated as fraction of year from the reference date. Rate  zeroYield (const Date &, bool extrapolate=false) const   zero-yield rate Rate  zeroYield (Time t, bool extrapolate=false) const   zero-yield rate Rate  zeroCoupon (const Date &, Integer, bool extrapolate=false) const   zero-coupon rate Rate  zeroCoupon (Time, Integer, bool extrapolate=false) const   zero-coupon rate InterestRate  zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const   zero-yield rate InterestRate  zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const   zero-yield rate discount factors These methods are either function of dates or times. In the latter case, times are calculated as fraction of year from the reference date. DiscountFactor  discount (const Date &, bool extrapolate=false) const   discount factor DiscountFactor  discount (Time, bool extrapolate=false) const   discount factor forward rates These methods are either function of dates or times. In the latter case, times are calculated as fraction of year from the reference date. Rate  compoundForward (const Date &d1, Integer f, bool extrapolate=false) const   instantaneous forward rate at a given compounding frequency Rate  compoundForward (Time t1, Integer f, bool extrapolate=false) const   instantaneous forward rate at a given compounding frequency Rate  instantaneousForward (const Date &, bool extrapolate=false) const   instantaneous forward rate Rate  instantaneousForward (Time, bool extrapolate=false) const   instantaneous forward rate Rate  forward (const Date &d1, const Date &d2, bool extrapolate=false) const   discrete forward rate between two dates Rate  forward (Time, Time, bool extrapolate=false) const   discrete forward rate between two times InterestRate  forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const   forward interest rate InterestRate  forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const   forward interest rate par rates These methods are either function of dates or times. In the latter case, times are calculated as fraction of year from the reference date. Rate  parRate (Year tenor, const Date &effectiveDate, Frequency freq=Annual, bool extrapolate=false) const   par rate Rate  parRate (Year tenor, Time t0, Frequency freq=Annual, bool extrapolate=false) const   par rate Dates virtual Date  maxDate () const =0   the latest date for which the curve can return rates virtual Time  maxTime () const   the latest time for which the curve can return rates Protected Member Functions Calculations These methods must be implemented in derived classes to perform the actual discount and rate calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. virtual DiscountFactor  discountImpl (Time) const =0   discount calculation virtual Rate  zeroYieldImpl (Time) const =0   zero-yield calculation virtual Rate  forwardImpl (Time) const =0   instantaneous forward-rate calculation virtual Rate  compoundForwardImpl (Time, Integer) const =0   compound forward-rate calculation Constructor & Destructor Documentation YieldTermStructure (  const Date &  todaysDate, const Date &  referenceDate )    initialize with a fixed today's date and reference date Deprecated: use the constructor without today's date; set the evaluation date through Settings::instance(). YieldTermStructure (   )    default constructor Warning: term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. Member Function Documentation Rate zeroYield (  const Date &  , bool  extrapolate = false )  const   zero-yield rate Deprecated: use zeroRate(const Date& d, const DayCounter& dc, Continuous, NoFrequency, bool extrapolate) instead Rate zeroYield (  Time  t, bool  extrapolate = false )  const   zero-yield rate Deprecated: use zeroRate(Time t, Continuous, NoFrequency, bool extrapolate) instead Rate zeroCoupon (  const Date &  , Integer  , bool  extrapolate = false )  const   zero-coupon rate Deprecated: use zeroRate(const Date&, const DayCounter&, Compounding, Frequency, bool) instead Rate zeroCoupon (  Time  , Integer  , bool  extrapolate = false )  const   zero-coupon rate Deprecated: use zeroRate(Time, Compounding, Frequency, bool) instead InterestRate zeroRate (  const Date &  d, const DayCounter &  resultDayCounter, Compounding  comp, Frequency  freq = Annual, bool  extrapolate = false )  const   zero-yield rate returns the implied zero-yield rate for a given date. The resulting InterestRate has the required daycounting rule. InterestRate zeroRate (  Time  t, Compounding  comp, Frequency  freq = Annual, bool  extrapolate = false )  const   zero-yield rate returns the implied zero-yield rate for a given time. The resulting InterestRate has the same day-counting rule used by the term structure. The same rule should be used for the calculating the time t. Rate compoundForward (  const Date &  d1, Integer  f, bool  extrapolate = false )  const   instantaneous forward rate at a given compounding frequency Deprecated: use forwardRate(const Date& d1, const Date& d1, const DayCounter& dc, SimpleThenCompounded, Frequency f, bool extrapolate) instead Rate compoundForward (  Time  t1, Integer  f, bool  extrapolate = false )  const   instantaneous forward rate at a given compounding frequency Deprecated: use forwardRate(Time t1, Time t1, SimpleThenCompounded, Frequency f, bool extrapolate) instead Rate instantaneousForward (  const Date &  , bool  extrapolate = false )  const   instantaneous forward rate Deprecated: use forwardRate(const Date& d1, const Date& d1, const DayCounter& dc, Continuous, NoFrequency, bool extrapolate) instead Rate instantaneousForward (  Time  , bool  extrapolate = false )  const   instantaneous forward rate Deprecated: use forwardRate(Time t1, Time t1, Continuous, NoFrequency, bool extrapolate) instead Rate forward (  const Date &  d1, const Date &  d2, bool  extrapolate = false )  const   discrete forward rate between two dates Deprecated: use forwardRate(const Date& d1, const Date& d2, const DayCounter& dc, Continuous, NoFrequency, bool extrapolate) instead Rate forward (  Time  , Time  , bool  extrapolate = false )  const   discrete forward rate between two times Deprecated: use forwardRate(Time t1, Time t2, Continuous, NoFrequency, bool extrapolate) instead InterestRate forwardRate (  const Date &  d1, const Date &  d2, const DayCounter &  resultDayCounter, Compounding  comp, Frequency  freq = Annual, bool  extrapolate = false )  const   forward interest rate returns the implied forward interest rate between two dates The resulting interest rate has the required day-counting rule. InterestRate forwardRate (  Time  t1, Time  t2, Compounding  comp, Frequency  freq = Annual, bool  extrapolate = false )  const   forward interest rate returns the implied forward interest rate between two times The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for the calculating the time t. Rate parRate (  Year  tenor, const Date &  effectiveDate, Frequency  freq = Annual, bool  extrapolate = false )  const   par rate returns the implied par rate of a stylised swap starting at the effective date with a given tenor. Warning: this par rate is not to be used for evaluation of a real swap, since it does not take into account all the market conventions' details. Rate parRate (  Year  tenor, Time  t0, Frequency  freq = Annual, bool  extrapolate = false )  const   par rate returns the implied par rate of a stylised swap starting at the given time with a given tenor. Warning: this par rate is not to be used for evaluation of a real swap, since it does not take into account all the market conventions' details.

---

QuantLib.org

Hosted by

Documentation generated by