Class defines the interface of algorithms that perform estimation of interest rate curve (see InterpolatedCurve) More...
#include <irCurveEstimator.hpp>
Public Member Functions | |
| Estimator () | |
| default constructor More... | |
| virtual void | calculate (const std::vector< SmartPointer< BuildingBlock > > &instruments, const CurveSettings &settings, SmartPointer< ir::Curve > &discounting_curve, SmartPointer< ir::Curve > &projection_curve)=0 |
| estimates the curve More... | |
| virtual std::vector< double > | getDF () const =0 |
| returns DFs More... | |
| virtual std::vector< Date > | getDates () const =0 |
| returns dates More... | |
| virtual std::string | info () const =0 |
| returns name of estimator More... | |
| virtual Estimator * | clone () const =0 |
| virtual copy constructor More... | |
| virtual | ~Estimator () |
| destructor More... | |
Detailed Description
Class defines the interface of algorithms that perform estimation of interest rate curve (see InterpolatedCurve)
Interest rate estimators calculate dated DFs on the basis of provided benchmark instruments using. Maturities of benchmark instruments are used as grid dates..
Constructor & Destructor Documentation
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inline |
default constructor
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inlinevirtual |
destructor
Member Function Documentation
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pure virtual |
estimates the curve
calculates method estimates the curve and saves the result into the class members
Implemented in julian::ir::AlgebraicBootstrapper, julian::ir::RootFindingBootstrapper, julian::ir::ConstrainedSmoother, and julian::ir::UnconstrainedSmoother.
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pure virtual |
virtual copy constructor
Implemented in julian::ir::RootFindingBootstrapper, julian::ir::AlgebraicBootstrapper, julian::ir::ConstrainedSmoother, and julian::ir::UnconstrainedSmoother.
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pure virtual |
returns dates
Method should be called after calling method Estimator::calculate
Implemented in julian::ir::RootFindingBootstrapper, julian::ir::AlgebraicBootstrapper, julian::ir::ConstrainedSmoother, and julian::ir::UnconstrainedSmoother.
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pure virtual |
returns DFs
Method should be called after calling method Estimator::calculate
Implemented in julian::ir::RootFindingBootstrapper, julian::ir::AlgebraicBootstrapper, julian::ir::ConstrainedSmoother, and julian::ir::UnconstrainedSmoother.
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pure virtual |
returns name of estimator
Implemented in julian::ir::RootFindingBootstrapper, julian::ir::AlgebraicBootstrapper, julian::ir::ConstrainedSmoother, and julian::ir::UnconstrainedSmoother.
The documentation for this class was generated from the following file:
- C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/estimators/irCurveEstimator.hpp
