#include <compoundforward.hpp>
Definition at line 45 of file compoundforward.hpp.
Public Member Functions | |
BusinessDayConvention | businessDayConvention () const |
Calendar | calendar () const |
the calendar used for reference date calculation | |
Rate | compoundForward (Time t1, Integer f, bool extrapolate=false) const |
Rate | compoundForward (const Date &d1, Integer f, bool extrapolate=false) const |
CompoundForward (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter) | |
Integer | compounding () const |
const std::vector< Date > & | dates () const |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
boost::shared_ptr < ExtendedDiscountCurve > | discountCurve () const |
const std::vector< Rate > & | forwards () const |
Date | maxDate () const |
the latest date for which the curve can return rates | |
Time | maxTime () const |
the latest time for which the curve can return rates | |
void | notifyObservers () |
template<class T> | |
void | registerWith (const boost::shared_ptr< T > &h) |
const std::vector< Time > & | times () const |
template<class T> | |
void | unregisterWith (const boost::shared_ptr< T > &h) |
inspectors | |
bool | allowsExtrapolation () const |
tells whether extrapolation is enabled | |
modifiers | |
void | disableExtrapolation () |
disable extrapolation in subsequent calls | |
void | enableExtrapolation () |
enable extrapolation in subsequent calls | |
discount factors | |
These methods return the discount factor for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date. | |
DiscountFactor | discount (Time, bool extrapolate=false) const |
DiscountFactor | discount (const Date &, bool extrapolate=false) const |
forward rates | |
These methods returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. | |
InterestRate | forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
par rates | |
These methods returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.
| |
Rate | parRate (Year tenor, Time t0, Frequency freq=Annual, bool extrapolate=false) const |
Rate | parRate (const std::vector< Time > ×, Frequency freq=Annual, bool extrapolate=false) const |
Rate | parRate (const std::vector< Date > &dates, Frequency freq=Annual, bool extrapolate=false) const |
Rate | parRate (Integer tenor, const Date &startDate, Frequency freq=Annual, bool extrapolate=false) const |
Dates | |
virtual const Date & | referenceDate () const |
the reference date, i.e., the date at which discount = 1 | |
Observer interface | |
void | update () |
zero-yield rates | |
These methods return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date. | |
InterestRate | zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
InterestRate | zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
Protected Member Functions | |
boost::shared_ptr < YieldTermStructure > | bootstrap () const |
void | calibrateNodes () const |
Rate | compoundForwardImpl (Time, Integer) const |
DiscountFactor | discountImpl (Time) const |
Rate | forwardImpl (Time) const |
instantaneous forward-rate calculation | |
Size | referenceNode (Time) const |
Time | timeFromReference (const Date &date) const |
date/time conversion | |
Rate | zeroYieldImpl (Time) const |
Private Attributes | |
Calendar | calendar_ |
Integer | compounding_ |
BusinessDayConvention | conv_ |
std::vector< Date > | dates_ |
DayCounter | dayCounter_ |
boost::shared_ptr < ExtendedDiscountCurve > | discountCurve_ |
std::vector< Rate > | forwards_ |
Interpolation | fwdinterp_ |
bool | needsBootstrap_ |
std::vector< Time > | times_ |