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QuantLib::InterestRate Class Reference

#include <interestrate.hpp>

List of all members.


Detailed Description

Concrete interest rate class.

This class encapsulate the interest rate compounding algebra. It manages day-counting conventions, compounding conventions, conversion between different conventions, discount/compound factor calculations, and implied/equivalent rate calculations.

Test:
Converted rates are checked against known good results

Definition at line 40 of file interestrate.hpp.


Public Member Functions

discount/compound factor calculations
Real compoundFactor (const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date()) const
 compound factor implied by the rate compounded between two dates
Real compoundFactor (Time t) const
 compound factor implied by the rate compounded at time t.
DiscountFactor discountFactor (const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date()) const
 discount factor implied by the rate compounded between two dates
DiscountFactor discountFactor (Time t) const
 discount factor implied by the rate compounded at time t.
inspectors
Compounding compounding () const
const DayCounterdayCounter () const
Frequency frequency () const
Rate rate () const
equivalent rate calculations
InterestRate equivalentRate (const DayCounter &resultDC, Compounding comp, Frequency freq, Date d1, Date d2, const Date &refStart=Date(), const Date &refEnd=Date()) const
 equivalent rate for a compounding period between two dates
InterestRate equivalentRate (Compounding comp, Frequency freq, Time t) const
 equivalent interest rate for a compounding period t.
constructors
 InterestRate (Rate r, const DayCounter &dc, Compounding comp, Frequency freq)
 Standard constructor.
 InterestRate ()
 Default constructor returning a null interest rate.
conversions
 operator Rate () const

Static Public Member Functions

implied rate calculations
static InterestRate impliedRate (Real compound, const DayCounter &resultDC, Compounding comp, Frequency freq, const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date())
 implied rate for a given compound factor between two dates.
static InterestRate impliedRate (Real compound, const DayCounter &resultDC, Compounding comp, Frequency freq, Time t)
 implied interest rate for a given compound factor at a given time.

Private Attributes

Compounding comp_
DayCounter dc_
Real freq_
bool freqMakesSense_
Rate r_

Related Functions

(Note that these are not member functions.)

std::ostream & operator<< (std::ostream &, const InterestRate &)

The documentation for this class was generated from the following files:

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