QuantLib_InterpolatedDiscountCurve man page

InterpolatedDiscountCurve< Interpolator > — YieldTermStructure based on interpolation of discount factors.

Synopsis

#include <ql/termstructures/yield/discountcurve.hpp>

Inherits YieldTermStructure, and InterpolatedCurve< Interpolator >.

Public Member Functions

InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)

InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Interpolator &interpolator)

TermStructure interface

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

other inspectors

const std::vector< Time > & times () const

const std::vector< Date > & dates () const

const std::vector< Real > & data () const

const std::vector< DiscountFactor > & discounts () const

std::vector< std::pair< Date, Real > > nodes () const

Protected Member Functions

InterpolatedDiscountCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

InterpolatedDiscountCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

InterpolatedDiscountCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

YieldTermStructure implementation

DiscountFactor discountImpl (Time) const
discount factor calculation

Protected Attributes

std::vector< Date > dates_

Additional Inherited Members

Detailed Description

template<class Interpolator>

class QuantLib::InterpolatedDiscountCurve< Interpolator >" YieldTermStructure based on interpolation of discount factors.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

discounts(3) and InterpolatedDiscountCurve(3) are aliases of QuantLib_InterpolatedDiscountCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib