QuantLib 0.3.11 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Configuration Usage Frequently asked questions Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

YieldTermStructure Class Reference [Term structures] #include <ql/yieldtermstructure.hpp> Inheritance diagram for YieldTermStructure: [legend]List of all members. Detailed Description Interest-rate term structure. This abstract class defines the interface of concrete rate structures which will be derived from this one. Rates are assumed to be annual continuous compounding. Todo: add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure Tests: observability against evaluation date changes is checked. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors.   YieldTermStructure ()   default constructor   YieldTermStructure (const Date &referenceDate)   initialize with a fixed reference date   YieldTermStructure (Integer settlementDays, const Calendar &)   calculate the reference date based on the global evaluation date 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 (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const InterestRate  zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const 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 (const Date &, bool extrapolate=false) const DiscountFactor  discount (Time, 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 (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const InterestRate  forwardRate (Time t1, Time t2, 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. Warning: though somewhat related to a swap rate, this method is not to be used for the fair rate of a real swap, since it does not take into account all the market conventions' details. The correct way to evaluate such rate is to instantiate a SimpleSwap with the correct conventions, pass it the term structure and call the swap's fairRate() method. Rate  parRate (Integer tenor, const Date &startDate, Frequency freq=Annual, bool extrapolate=false) const Rate  parRate (const std::vector< Date > &dates, Frequency freq=Annual, bool extrapolate=false) const Rate  parRate (const std::vector< Time > &times, Frequency freq=Annual, bool extrapolate=false) const Rate  parRate (Year tenor, Time t0, Frequency freq=Annual, bool extrapolate=false) const Dates virtual Date  maxDate () const =0   the latest date for which the curve can return rates virtual Time  maxTime () const   the latest time for which the curve can return rates Protected Member Functions Calculations These methods must be implemented in derived classes to perform the actual discount and rate calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. virtual DiscountFactor  discountImpl (Time) const =0   discount calculation Constructor & Destructor Documentation YieldTermStructure (   )    default constructor Warning: term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. Member Function Documentation InterestRate zeroRate (  const Date &  d, const DayCounter &  resultDayCounter, Compounding  comp, Frequency  freq = Annual, bool  extrapolate = false )  const   The resulting interest rate has the required daycounting rule. InterestRate zeroRate (  Time  t, Compounding  comp, Frequency  freq = Annual, bool  extrapolate = false )  const   The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed time t. DiscountFactor discount (  Time  , bool  extrapolate = false )  const   The same day-counting rule used by the term structure should be used for calculating the passed time t. InterestRate forwardRate (  const Date &  d1, const Date &  d2, const DayCounter &  resultDayCounter, Compounding  comp, Frequency  freq = Annual, bool  extrapolate = false )  const   The resulting interest rate has the required day-counting rule. InterestRate forwardRate (  Time  t1, Time  t2, Compounding  comp, Frequency  freq = Annual, bool  extrapolate = false )  const   The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for the calculating the passed times t1 and t2. Rate parRate (  const std::vector< Date > &  dates, Frequency  freq = Annual, bool  extrapolate = false )  const   the first date in the vector must equal the start date; the following dates must equal the payment dates. Rate parRate (  const std::vector< Time > &  times, Frequency  freq = Annual, bool  extrapolate = false )  const   the first time in the vector must equal the start time; the following times must equal the payment times. Rate parRate (  Year  tenor, Time  t0, Frequency  freq = Annual, bool  extrapolate = false )  const   Deprecated: use the overload taking a vector of times

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