Class extrapolates the interest rate curve. More...

#include <extrapolateLogOfDF.hpp>

Inheritance diagram for julian::ir::ExtrapolateLogOfDF:

Public Member Functions
	ExtrapolateLogOfDF ()
	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 ExtrapolateLogOfDF *	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 interest rate curve.

This class is used to extrapolate interpolated interest rate curve. This is done according to formula:

$DF(date_x) = DF^{\frac{YF(today,date_x)}{YF(today,date)}}$

where: $date_x$ is date on which we extrapolate $date$ the latest interest rate curve grid date in case when we is later then last grid date or the earliest interest rate curve grid date in case when we is earlier then first grid date

Constructor & Destructor Documentation

julian::ir::ExtrapolateLogOfDF::ExtrapolateLogOfDF ( )

default constructor

Member Function Documentation

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

virtual

virtual copy constructor

Implements julian::ir::Extrapolator.

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

virtual

returns the name of class

Implements julian::ir::Extrapolator.

double julian::ir::ExtrapolateLogOfDF::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::ExtrapolateLogOfDF::serialize	(	Archive &	,
		const unsigned	int
	)

inlineprivate

interface used by Boost serialization library

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

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

Public Member Functions

Private Member Functions

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation