QuantLib_ZeroYieldStructure man page

ZeroYieldStructure — Zero-yield term structure.

Synopsis

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

Inherits YieldTermStructure.

Inherited by DriftTermStructure, InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >, InterpolatedZeroCurve< Interpolator >, QuantoTermStructure, and ZeroSpreadedTermStructure.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

ZeroYieldStructure (const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

ZeroYieldStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

ZeroYieldStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

Protected Member Functions

Calculations
This method must be implemented in derived classes to perform the actual calculations. When it is called, range check has already been performed; therefore, it must assume that extrapolation is required.

virtual Rate zeroYieldImpl (Time) const =0
zero-yield calculation

YieldTermStructure implementation

DiscountFactor discountImpl (Time) const

Additional Inherited Members

Detailed Description

Zero-yield term structure.

This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the zeroYieldImpl(Time) method in derived classes.

Discount and forward are calculated from zero yields.

Zero rates are assumed to be annual continuous compounding.

Member Function Documentation

DiscountFactor discountImpl (Time t) const [protected], [virtual]

Returns the discount factor for the given date calculating it from the zero yield.

Implements YieldTermStructure.

Author

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Referenced By

ZeroYieldStructure(3) is an alias of QuantLib_ZeroYieldStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib