The class defines the flat interest rate curve. More...

#include <flatCurve.hpp>

Inheritance diagram for julian::ir::FlatCurve:

Public Member Functions
	FlatCurve ()
	default constructor More...

	FlatCurve (InterestRate &, double, Date, Calendar &)
	constructor More...

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

FlatCurve *	clone () const
	Virtual copy constructor. More...

Public Member Functions inherited from julian::ir::Curve
	Curve ()
	Default constructor. More...

virtual	~Curve ()
	destructor More...

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

Private Attributes
InterestRate	rate_
	Interest rate convention. More...

double	zero_coupon_rate_
	Value of zero coupon rate. More...

Date	curve_date_
	Today represent the date on which the curve is valid. More...

Calendar	calendar_
	Thanks to calendar outputs of the curve (DFs, forward rates etc) can be calculated only on the basis of provided tenor. More...

Friends
class	boost::serialization::access

std::ostream &	operator<< (std::ostream &, FlatCurve &)
	Overloads stream operator. More...

Detailed Description

The class defines the flat interest rate curve.

Flat interest rate curve is a curve which Zero Coupon rate is the same for all tenors.

Examples:: bondsExample.cpp, DepositExample.cpp, and optionPricingExample.cpp.

Constructor & Destructor Documentation

julian::ir::FlatCurve::FlatCurve ( )

default constructor

julian::ir::FlatCurve::FlatCurve	(	InterestRate &	rate,
		double	zero_coupon_rate,
		Date	curve_date,
		Calendar &	calendar
	)

constructor

Member Function Documentation

double julian::ir::FlatCurve::capitalization ( Date ) const

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.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::capitalization ( Tenor ) const

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.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::capitalization	(	Date	,
		Date
	)		const

virtual

get forward capitalization

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

Implements julian::ir::Curve.

double julian::ir::FlatCurve::capitalization	(	Tenor	,
		Tenor
	)		const

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).

Implements julian::ir::Curve.

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

virtual

Virtual copy constructor.

Reimplemented from julian::ir::Curve.

double julian::ir::FlatCurve::coupon ( Date ) const

virtual

get coupon

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

Implements julian::ir::Curve.

double julian::ir::FlatCurve::coupon ( Tenor ) const

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.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::coupon	(	Date	,
		Date
	)		const

virtual

get coupon

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

Implements julian::ir::Curve.

double julian::ir::FlatCurve::coupon	(	Tenor	,
		Tenor
	)		const

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.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::DF ( Date ) const

virtual

get DF

Implements julian::ir::Curve.

double julian::ir::FlatCurve::DF	(	Date	,
		Date
	)		const

virtual

get forward DF

Implements julian::ir::Curve.

double julian::ir::FlatCurve::DF ( Tenor ) const

virtual

get DF for a tenor

Implements julian::ir::Curve.

double julian::ir::FlatCurve::DF	(	Tenor	,
		Tenor
	)		const

virtual

get forward DF (between two tenors)

Implements julian::ir::Curve.

double julian::ir::FlatCurve::fwdRate	(	Date	,
		Date
	)		const

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.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::fwdRate	(	Tenor	,
		Tenor
	)		const

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.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::fwdRate	(	Date	,
		Tenor
	)		const

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.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::fwdRate	(	Date	,
		Date	,
		InterestRate
	)		const

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).

Implements julian::ir::Curve.

double julian::ir::FlatCurve::fwdRate	(	Tenor	,
		Tenor	,
		InterestRate
	)		const

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).

Implements julian::ir::Curve.

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

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).

Implements julian::ir::Curve.

Date julian::ir::FlatCurve::getValuationDate ( ) const

virtual

get today date

The method returns the date for which curve was defined.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::rate ( Date ) const

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.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::rate ( Tenor ) const

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.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::rate	(	Date	,
		InterestRate
	)		const

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.

Implements julian::ir::Curve.

double julian::ir::FlatCurve::rate	(	Tenor	,
		InterestRate
	)		const

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.

Implements julian::ir::Curve.

template<class Archive >

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

private

interface used by Boost serialization library

Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	s,
		FlatCurve &	c
	)

friend

Overloads stream operator.

This overloaded operator enables to print the curve on the console.

Member Data Documentation

Calendar julian::ir::FlatCurve::calendar_

private

Thanks to calendar outputs of the curve (DFs, forward rates etc) can be calculated only on the basis of provided tenor.

Date julian::ir::FlatCurve::curve_date_

private

Today represent the date on which the curve is valid.

InterestRate julian::ir::FlatCurve::rate_

private

Interest rate convention.

double julian::ir::FlatCurve::zero_coupon_rate_

private

Value of zero coupon rate.

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

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

Public Member Functions

Private Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation