QuantLib_InterpolatedZeroCurve man page

InterpolatedZeroCurve< Interpolator > — YieldTermStructure based on interpolation of zero rates.

Synopsis

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

Inherits ZeroYieldStructure, and InterpolatedCurve< Interpolator >.

Public Member Functions

InterpolatedZeroCurve (const std::vector< Date > &dates, const std::vector< Rate > &yields, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), Compounding compounding=Continuous, Frequency frequency=Annual)

InterpolatedZeroCurve (const std::vector< Date > &dates, const std::vector< Rate > &yields, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator, Compounding compounding=Continuous, Frequency frequency=Annual)

InterpolatedZeroCurve (const std::vector< Date > &dates, const std::vector< Rate > &yields, const DayCounter &dayCounter, const Interpolator &interpolator, Compounding compounding=Continuous, Frequency frequency=Annual)

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< Rate > & zeroRates () const

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

Protected Member Functions

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

InterpolatedZeroCurve (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())

InterpolatedZeroCurve (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())

ZeroYieldStructure implementation

Rate zeroYieldImpl (Time t) const
zero-yield calculation

Protected Attributes

std::vector< Date > dates_

Additional Inherited Members

Detailed Description

template<class Interpolator>

class QuantLib::InterpolatedZeroCurve< Interpolator >" YieldTermStructure based on interpolation of zero rates.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

InterpolatedZeroCurve(3) and zeroRates(3) are aliases of QuantLib_InterpolatedZeroCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib