InterestRate Class Reference

Concrete interest rate class. More...

#include <interestrate.hpp>

Collaboration diagram for InterestRate:

Public Member Functions
constructors
	InterestRate ()
	Default constructor returning a null interest rate. More...
	InterestRate (Rate r, DayCounter dc, Compounding comp, Frequency freq)
	Standard constructor. More...
conversions
	operator Rate () const
inspectors
Rate	rate () const
const DayCounter &	dayCounter () const
Compounding	compounding () const
Frequency	frequency () const
discount/compound factor calculations
DiscountFactor	discountFactor (Time t) const
	discount factor implied by the rate compounded at time t. More...
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 More...
Real	compoundFactor (Time t) const
	compound factor implied by the rate compounded at time t. More...
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 More...

Static Public Member Functions
implied rate calculations
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. More...
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. More...

Related Functions
(Note that these are not member functions.)
std::ostream &	operator<< (std::ostream &, const InterestRate &)

equivalent rate calculations
Rate	r_
DayCounter	dc_
Compounding	comp_
bool	freqMakesSense_
Real	freq_
InterestRate	equivalentRate (Compounding comp, Frequency freq, Time t) const
	equivalent interest rate for a compounding period t. More...
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 More...

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.

Tests:

Converted rates are checked against known good results

Examples

CallableBonds.cpp.

Definition at line 40 of file interestrate.hpp.

Constructor & Destructor Documentation

InterestRate() [1/2]

InterestRate

(

)

Default constructor returning a null interest rate.

Definition at line 30 of file interestrate.cpp.

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InterestRate() [2/2]

InterestRate	(	Rate	r,
		DayCounter	dc,
		Compounding	comp,
		Frequency	freq
	)

Standard constructor.

Definition at line 33 of file interestrate.cpp.

Member Function Documentation

operator Rate()

operator Rate

(

)

const

Definition at line 51 of file interestrate.hpp.

rate()

Rate rate

(

)

const

Definition at line 55 of file interestrate.hpp.

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dayCounter()

const DayCounter & dayCounter

(

)

const

Definition at line 56 of file interestrate.hpp.

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compounding()

Compounding compounding

(

)

const

Definition at line 57 of file interestrate.hpp.

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frequency()

Frequency frequency

(

)

const

Definition at line 58 of file interestrate.hpp.

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discountFactor() [1/2]

DiscountFactor discountFactor

(

Time

t

)

const

discount factor implied by the rate compounded at time t.

Warning:

Time must be measured using InterestRate's own day counter.

Definition at line 69 of file interestrate.hpp.

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discountFactor() [2/2]

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

Definition at line 74 of file interestrate.hpp.

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compoundFactor() [1/2]

Real compoundFactor

(

Time

t

)

const

compound factor implied by the rate compounded at time t.

returns the compound (a.k.a capitalization) factor implied by the rate compounded at time t.

Warning:

Time must be measured using InterestRate's own day counter.

Definition at line 44 of file interestrate.cpp.

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compoundFactor() [2/2]

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

returns the compound (a.k.a capitalization) factor implied by the rate compounded between two dates.

Definition at line 98 of file interestrate.hpp.

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impliedRate() [1/2]

InterestRate impliedRate ( Real  compound, const DayCounter &  resultDC, Compounding  comp, Frequency  freq, Time  t  )

static

implied interest rate for a given compound factor at a given time.

The resulting InterestRate has the day-counter provided as input.

Warning:

Time must be measured using the day-counter provided as input.

Definition at line 70 of file interestrate.cpp.

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impliedRate() [2/2]

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()  )

static

implied rate for a given compound factor between two dates.

The resulting rate is calculated taking the required day-counting rule into account.

Definition at line 129 of file interestrate.hpp.

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equivalentRate() [1/2]

InterestRate equivalentRate	(	Compounding	comp,
		Frequency	freq,
		Time	t
	)		const

equivalent interest rate for a compounding period t.

The resulting InterestRate shares the same implicit day-counting rule of the original InterestRate instance.

Warning:

Time must be measured using the InterestRate's own day counter.

Definition at line 155 of file interestrate.hpp.

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equivalentRate() [2/2]

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

The resulting rate is calculated taking the required day-counting rule into account.

Definition at line 165 of file interestrate.hpp.

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Friends And Related Function Documentation

operator<<()

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

related

Definition at line 115 of file interestrate.cpp.

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Member Data Documentation

r_

Rate r_

private

Definition at line 181 of file interestrate.hpp.

dc_

DayCounter dc_

private

Definition at line 182 of file interestrate.hpp.

comp_

Compounding comp_

private

Definition at line 183 of file interestrate.hpp.

freqMakesSense_

bool freqMakesSense_

private

Definition at line 184 of file interestrate.hpp.

freq_

Real freq_

private

Definition at line 185 of file interestrate.hpp.