ZeroYieldStructure Class Reference
[Term structures]
#include <ql/termstructures/yield/zeroyieldstructure.hpp>
Inheritance diagram for ZeroYieldStructure:
Detailed Description
Zero-yield term structure.
This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the zeroYieldImpl(Time, bool) method in derived classes. Discount and forward are calculated from zero yields.
Rates are assumed to be annual continuous compounding.
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| ZeroYieldStructure (const DayCounter &dc=DayCounter()) | |
| ZeroYieldStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
| ZeroYieldStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
Protected Member Functions | |
YieldTermStructure implementation | |
| DiscountFactor | discountImpl (Time) const |
| virtual Rate | zeroYieldImpl (Time) const =0 |
| zero-yield calculation | |
Member Function Documentation
| DiscountFactor discountImpl | ( | Time | t | ) | const [protected, virtual] |
Returns the discount factor for the given date calculating it from the zero yield.
Implements YieldTermStructure.