The class interfaces interest rate curves. More...

#include <irCurve.hpp>

Inheritance diagram for julian::ir::Curve:

Public Member Functions
	Curve ()
	Default constructor. More...

virtual double	DF (Date) const =0
	get DF More...

virtual double	DF (Date, Date) const =0
	get forward DF More...

virtual double	DF (Tenor) const =0
	get DF for a tenor More...

virtual double	DF (Tenor, Tenor) const =0
	get forward DF (between two tenors) More...

virtual double	capitalization (Date) const =0
	get capitalization More...

virtual double	capitalization (Tenor) const =0
	get capitalization More...

virtual double	capitalization (Date, Date) const =0
	get forward capitalization More...

virtual double	capitalization (Tenor, Tenor) const =0
	get forward capitalization More...

virtual double	coupon (Date) const =0
	get coupon More...

virtual double	coupon (Tenor) const =0
	get coupon More...

virtual double	coupon (Date, Date) const =0
	get coupon More...

virtual double	coupon (Tenor, Tenor) const =0
	get coupon More...

virtual double	rate (Date) const =0
	get zero coupon rate More...

virtual double	rate (Tenor) const =0
	get zero coupon rate More...

virtual double	rate (Date, InterestRate) const =0
	get zero coupon rate More...

virtual double	rate (Tenor, InterestRate) const =0
	get zero coupon rate More...

virtual double	fwdRate (Date, Date) const =0
	get forward rate More...

virtual double	fwdRate (Tenor, Tenor) const =0
	get forward rate More...

virtual double	fwdRate (Date, Tenor) const =0
	get forward rate More...

virtual double	fwdRate (Date, Date, InterestRate) const =0
	get forward rate More...

virtual double	fwdRate (Tenor, Tenor, InterestRate) const =0
	get forward rate More...

virtual double	fwdRate (Date, Tenor, InterestRate) const =0
	get forward rate More...

virtual Date	getValuationDate () const =0
	get today date More...

virtual	~Curve ()
	destructor More...

virtual Curve *	clone () const
	Virtual copy constructor. More...

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int)
	interface used by Boost serialization library More...

Friends
class	boost::serialization::access

Detailed Description

The class interfaces interest rate curves.

A interest rate curve is a representation of the relationship of rates in the swap or bond markets and their maturity and is used for the valuations of bonds or swap-related instruments. It is usually constructed with benchmark instruments and certain related contracts: market instruments that represent the most liquid and dominant instruments for their respective time horizons. More information see [16] [41] [20] [10] [6] .

Constructor & Destructor Documentation

julian::ir::Curve::Curve ( )

inline

Default constructor.

virtual julian::ir::Curve::~Curve ( )

inlinevirtual

destructor

Member Function Documentation

virtual double julian::ir::Curve::capitalization ( Date ) const

pure virtual

get capitalization

This method calculate the value of 1 monetary unit invested today and received on date calculated on the basis of given tenor.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::capitalization ( Tenor ) const

pure virtual

get capitalization

This method calculate the value of 1 monetary unit invested today and received on date calculated on the basis of given tenor.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::capitalization	(	Date	,
		Date
	)		const

pure virtual

get forward capitalization

This method calculate the value of 1 monetary unit invested on date d1 and received on date d2.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::capitalization	(	Tenor	,
		Tenor
	)		const

pure virtual

get forward capitalization

This method calculate the value of 1 monetary unit invested on date d1 (calculated on the basis of tenor t1) and received on date d2 (calculated on the basis of tenor t2).

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual Curve* julian::ir::Curve::clone ( ) const

virtual

Virtual copy constructor.

Reimplemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::coupon ( Date ) const

pure virtual

get coupon

This method calculate the revenue on 1 monetary unit invested today and received on date d.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::coupon ( Tenor ) const

pure virtual

get coupon

This method calculate the revenue on 1 monetary unit invested today and received on date d calculated on basis of tenor t.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::coupon	(	Date	,
		Date
	)		const

pure virtual

get coupon

This method calculate the revenue on 1 monetary unit invested on date d1 and received on date d2.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::coupon	(	Tenor	,
		Tenor
	)		const

pure virtual

get coupon

This method calculate the revenue on 1 monetary unit invested on date d1 calculated on the basis teno1 and received on date d2 calculated on the basis of tenor t2.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::DF ( Date ) const

pure virtual

get DF

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::DF	(	Date	,
		Date
	)		const

pure virtual

get forward DF

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::DF ( Tenor ) const

pure virtual

get DF for a tenor

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::DF	(	Tenor	,
		Tenor
	)		const

pure virtual

get forward DF (between two tenors)

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::fwdRate	(	Date	,
		Date
	)		const

pure virtual

get forward rate

The forward rate between d1 and d2 is the yield of zero coupon bond that will commence at date d1 and matures at date d2. The rate returned by this method is given in curve's interest rate convention.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::fwdRate	(	Tenor	,
		Tenor
	)		const

pure virtual

get forward rate

The forward rate between d1 and d2 ( date calculated on the basis of provided tenors) is the yield of zero coupon bond that will commence at date d1 and matures at date d2. The rate returned by this method is given in curve's interest rate convention.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::fwdRate	(	Date	,
		Tenor
	)		const

pure virtual

get forward rate

The forward rate between d1 and d2 ( date d2 calculated on the basis of provided tenor t) is the yield of zero coupon bond that will commence at date d1 and matures at date d2. The rate returned by this method is given in curve's interest rate convention.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::fwdRate	(	Date	,
		Date	,
		InterestRate
	)		const

pure virtual

get forward rate

The forward rate between d1 and d2 is the yield of zero coupon bond that will commence at date d1 and matures at date d2 (convention of this interest rate is provided as argument of method).

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::fwdRate	(	Tenor	,
		Tenor	,
		InterestRate
	)		const

pure virtual

get forward rate

The forward rate between d1 and d2 ( date calculated on the basis of provided tenors) is the yield of zero coupon bond that will commence at date d1 and matures at date d2. (convention of this interest rate is provided as argument of method).

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::fwdRate	(	Date	,
		Tenor	,
		InterestRate
	)		const

pure virtual

get forward rate

The forward rate between d1 and d2 ( date d2 calculated on the basis of provided tenor) is the yield of zero coupon bond that will commence at date d1 and matures at date d2. (convention of this interest rate is provided as argument of method).

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual Date julian::ir::Curve::getValuationDate ( ) const

pure virtual

get today date

The method returns the date for which curve was defined.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::rate ( Date ) const

pure virtual

get zero coupon rate

The zero coupon rate for date is the yield of zero coupon bond which matures on date. The rate returned by this method is given in curve's interest rate convention.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::rate ( Tenor ) const

pure virtual

get zero coupon rate

The zero coupon rate for tenor is the yield of zero coupon bond which matures on given tenor. The rate returned by this method is given in curve's interest rate convention.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::rate	(	Date	,
		InterestRate
	)		const

pure virtual

get zero coupon rate

The zero coupon rate for date is the yield of zero coupon bond which matures on date d. The rate returned by this method is given in provided interest rate convention.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

virtual double julian::ir::Curve::rate	(	Tenor	,
		InterestRate
	)		const

pure virtual

get zero coupon rate

The zero coupon rate for tenor t is the yield of zero coupon bond which matures at t. The rate returned by this method is given in provided interest rate convention.

Implemented in julian::ir::InterpolatedCurve, and julian::ir::FlatCurve.

template<class Archive >

void julian::ir::Curve::serialize	(	Archive &	ar,
		const unsigned	int
	)

inlineprivate

interface used by Boost serialization library

The documentation for this class was generated from the following file:

C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/irCurve.hpp

Public Member Functions

Private Member Functions

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation