julian::ir::ExtrapolateFlatZCR Class Reference

Class extrapolates the zero coupon rate. More...

#include <extrapolateFlatZCR.hpp>

Inheritance diagram for julian::ir::ExtrapolateFlatZCR:

Public Member Functions
	ExtrapolateFlatZCR ()
	default constructor More...
virtual double	operator() (const Calendar &, const InterestRate &, const Date &, const std::vector< Date > &, const std::vector< double > &, const Date &) const
	method extrapolates the curve More...
virtual ExtrapolateFlatZCR *	clone () const
	virtual copy constructor More...
virtual std::string	info () const
	returns the name of class More...
Public Member Functions inherited from julian::ir::Extrapolator
virtual	~Extrapolator ()
	destructor More...

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

Friends
class	boost::serialization::access

Detailed Description

Class extrapolates the zero coupon rate.

For date earlier than first grid date of interpolated curve the DF is calculated using the ZCR for first grid date. For date later than last grid date of interpolated curve the DF is calculated using the ZCR for last grid date. This results in flat piecewise function before first and after last grid dates.

Examples:

bootstrapperComparison.cpp.

Constructor & Destructor Documentation

julian::ir::ExtrapolateFlatZCR::ExtrapolateFlatZCR

(

)

default constructor

Member Function Documentation

ExtrapolateFlatZCR * julian::ir::ExtrapolateFlatZCR::clone ( ) const

virtual

virtual copy constructor

Implements julian::ir::Extrapolator.

std::string julian::ir::ExtrapolateFlatZCR::info ( ) const

virtual

returns the name of class

Implements julian::ir::Extrapolator.

double julian::ir::ExtrapolateFlatZCR::operator() ( const Calendar &  , const InterestRate &  rate, const Date &  today, const std::vector< Date > &  dates, const std::vector< double > &  DFs, const Date &  date  ) const

virtual

method extrapolates the curve

Implements julian::ir::Extrapolator.

template<class Archive >

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

inlineprivate

interface used by Boost serialization library

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

• C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/interpolators/extrapolateFlatZCR.hpp
• C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/interpolators/extrapolateFlatZCR.cpp