Class implements the interface of interest rate curve interpolator. More...

#include <irCurveExtrapolator.hpp>

Inheritance diagram for julian::ir::Extrapolator:

Public Member Functions
virtual double	operator() (const Calendar &, const InterestRate &, const Date &, const std::vector< Date > &, const std::vector< double > &, const Date &) const =0
	extrapolates curve for a given date More...

virtual Extrapolator *	clone () const =0
	virtual copy constructor More...

virtual	~Extrapolator ()
	destructor More...

virtual std::string	info () const =0
	returns name of a class 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 implements the interface of interest rate curve interpolator.

The ir::Extrapolator is used by ir::InterpolatedCurve. Thanks to delegating the extrapolation to separate hierarchy of classes we achieve flexibility of defining the curves.

Constructor & Destructor Documentation

virtual julian::ir::Extrapolator::~Extrapolator ( )

inlinevirtual

destructor

Member Function Documentation

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

pure virtual

virtual copy constructor

Implemented in julian::ir::ExtrapolateLogOfDF, and julian::ir::ExtrapolateFlatZCR.

virtual std::string julian::ir::Extrapolator::info ( ) const

pure virtual

returns name of a class

Implemented in julian::ir::ExtrapolateLogOfDF, and julian::ir::ExtrapolateFlatZCR.

virtual double julian::ir::Extrapolator::operator()	(	const Calendar &	,
		const InterestRate &	,
		const Date &	,
		const std::vector< Date > &	,
		const std::vector< double > &	,
		const Date &
	)		const

pure virtual

extrapolates curve for a given date

Implemented in julian::ir::ExtrapolateLogOfDF, and julian::ir::ExtrapolateFlatZCR.

template<class Archive >

void julian::ir::Extrapolator::serialize	(	Archive &	,
		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/interpolators/irCurveExtrapolator.hpp

Public Member Functions

Private Member Functions

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation