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| InterpolatedZeroCurve (const std::vector< Date > &dates, const std::vector< Rate > &yields, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={}, Compounding compounding=Continuous, Frequency frequency=Annual) |
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| 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) |
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| InterpolatedZeroCurve (const std::vector< Date > &dates, const std::vector< Rate > &yields, const DayCounter &dayCounter, const Interpolator &interpolator, Compounding compounding=Continuous, Frequency frequency=Annual) |
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Date | maxDate () const override |
| the latest date for which the curve can return values More...
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| ZeroYieldStructure (const DayCounter &dc=DayCounter()) |
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| ZeroYieldStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) |
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| ZeroYieldStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) |
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| YieldTermStructure (const DayCounter &dc=DayCounter()) |
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| YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={}) |
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| YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={}) |
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DiscountFactor | discount (const Date &d, bool extrapolate=false) const |
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DiscountFactor | discount (Time t, bool extrapolate=false) const |
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InterestRate | zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
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InterestRate | zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
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InterestRate | forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
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InterestRate | forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
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InterestRate | forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const |
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const std::vector< Date > & | jumpDates () const |
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const std::vector< Time > & | jumpTimes () const |
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void | update () override |
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| TermStructure (DayCounter dc=DayCounter()) |
| default constructor More...
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| TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter()) |
| initialize with a fixed reference date More...
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| TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter()) |
| calculate the reference date based on the global evaluation date More...
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| ~TermStructure () override=default |
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virtual DayCounter | dayCounter () const |
| the day counter used for date/time conversion More...
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Time | timeFromReference (const Date &date) const |
| date/time conversion More...
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virtual Time | maxTime () const |
| the latest time for which the curve can return values More...
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virtual const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 More...
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virtual Calendar | calendar () const |
| the calendar used for reference and/or option date calculation More...
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virtual Natural | settlementDays () const |
| the settlementDays used for reference date calculation More...
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| Observer ()=default |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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virtual | ~Observer () |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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virtual void | update ()=0 |
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virtual void | deepUpdate () |
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| Observable () |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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| Observable (Observable &&)=delete |
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Observable & | operator= (Observable &&)=delete |
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virtual | ~Observable ()=default |
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void | notifyObservers () |
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const std::vector< Time > & | times () const |
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const std::vector< Date > & | dates () const |
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const std::vector< Real > & | data () const |
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const std::vector< Rate > & | zeroRates () const |
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std::vector< std::pair< Date, Real > > | nodes () const |
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| InterpolatedZeroCurve (const DayCounter &, const Interpolator &interpolator={}) |
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| InterpolatedZeroCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={}) |
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| InterpolatedZeroCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={}) |
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template<class Interpolator>
class QuantLib::InterpolatedZeroCurve< Interpolator >
YieldTermStructure based on interpolation of zero rates.
Definition at line 42 of file zerocurve.hpp.