1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: ZeroYieldStructure Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_zero_yield_structure.html">ZeroYieldStructure</a></div>
<h1>ZeroYieldStructure Class Reference<br>
<small>
[<a class="el" href="group__yieldtermstructures.html">Term structures</a>]</small>
</h1><!-- doxytag: class="QuantLib::ZeroYieldStructure" --><!-- doxytag: inherits="QuantLib::YieldTermStructure" --><code>#include <ql/termstructures/yield/zeroyieldstructure.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for ZeroYieldStructure:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_zero_yield_structure__inherit__graph.png" border="0" usemap="#_zero_yield_structure__inherit__map" alt="Inheritance graph"></center>
<map name="_zero_yield_structure__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_drift_term_structure.html" title="Drift term structure." alt="" coords="453,5,595,32"><area shape="rect" href="class_quant_lib_1_1_interpolated_zero_curve.html" title="Term structure based on interpolation of zero yields." alt="" coords="440,56,608,83"><area shape="rect" href="class_quant_lib_1_1_piecewise_zero_spreaded_term_structure.html" title="Term structure with an added vector of spreads on the zero-yield rate." alt="" coords="391,107,657,133"><area shape="rect" href="class_quant_lib_1_1_quanto_term_structure.html" title="Quanto term structure." alt="" coords="444,157,604,184"><area shape="rect" href="class_quant_lib_1_1_zero_spreaded_term_structure.html" title="Term structure with an added spread on the zero yield rate." alt="" coords="421,208,627,235"><area shape="rect" href="class_quant_lib_1_1_yield_term_structure.html" title="Interest-rate term structure." alt="" coords="5,107,149,133"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_zero_yield_structure-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Zero-yield term structure.
<p>
This abstract class acts as an adapter to <a class="el" href="class_quant_lib_1_1_yield_term_structure.html" title="Interest-rate term structure.">YieldTermStructure</a> allowing the programmer to implement only the <code>zeroYieldImpl(Time, bool)</code> method in derived classes. <a class="el" href="struct_quant_lib_1_1_discount.html" title="Discount-curve traits.">Discount</a> and forward are calculated from zero yields.<p>
Rates are assumed to be annual continuous compounding. <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText">See the TermStructure documentation for issues regarding constructors. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5276ef3744f1ee1bfd2c86d5f567be77"></a><!-- doxytag: member="QuantLib::ZeroYieldStructure::ZeroYieldStructure" ref="5276ef3744f1ee1bfd2c86d5f567be77" args="(const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><b>ZeroYieldStructure</b> (const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4de9c4d2693301ac31f95e9a865dd9a9"></a><!-- doxytag: member="QuantLib::ZeroYieldStructure::ZeroYieldStructure" ref="4de9c4d2693301ac31f95e9a865dd9a9" args="(const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><b>ZeroYieldStructure</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f762f5fb46bc14f2d162d8dd5b4573ce"></a><!-- doxytag: member="QuantLib::ZeroYieldStructure::ZeroYieldStructure" ref="f762f5fb46bc14f2d162d8dd5b4573ce" args="(Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><b>ZeroYieldStructure</b> (<a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">YieldTermStructure implementation</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_zero_yield_structure.html#2c21d8d34e88bb0451cabdd4e280ab17">discountImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="841c9841f67d21b682578d206fc915ec"></a><!-- doxytag: member="QuantLib::ZeroYieldStructure::zeroYieldImpl" ref="841c9841f67d21b682578d206fc915ec" args="(Time) const =0" -->
virtual <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_zero_yield_structure.html#841c9841f67d21b682578d206fc915ec">zeroYieldImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">zero-yield calculation <br></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="2c21d8d34e88bb0451cabdd4e280ab17"></a><!-- doxytag: member="QuantLib::ZeroYieldStructure::discountImpl" ref="2c21d8d34e88bb0451cabdd4e280ab17" args="(Time) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> discountImpl </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>t</em> </td>
<td> ) </td>
<td width="100%"> const<code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Returns the discount factor for the given date calculating it from the zero yield.
<p>Implements <a class="el" href="class_quant_lib_1_1_yield_term_structure.html#fe73bf9ae8077e99d6edde6ea309e991">YieldTermStructure</a>.</p>
</div>
</div><p>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
