The class implements the concept of interest rate. More...

#include <interestRate.hpp>

Public Member Functions
	InterestRate ()
	Constructor. More...

	InterestRate (const SmartPointer< Compounding > &compounding, const SmartPointer< YearFraction > &year_fraction)
	Constructor. More...

double	capitalization (Date date1, Date date2, double interest_rate) const
	Calculates capitalization. More...

double	DF (Date date1, Date date2, double interest_rate) const
	Calculates discount factor. More...

double	coupon (Date date1, Date date2, double interest_rate) const
	Calculates coupon. More...

double	fwdRate (Date date1, Date date2, double df1, double df2) const
	Calculates forward rate. More...

double	zcRate (Date date1, Date date2, double df) const
	Calculates zero coupon rate. More...

double	yf (Date date1, Date date2) const
	Calculates year fraction. More...

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

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

Private Attributes
SmartPointer< Compounding >	compounding_
	Attribute maintaining compounding convention. More...

SmartPointer< YearFraction >	year_fraction_
	Attribute maintaining year fraction convention. More...

Friends
class	boost::serialization::access

std::ostream &	operator<< (std::ostream &s, InterestRate &r)
	Overloads stream operator. More...

Detailed Description

The class implements the concept of interest rate.

Class represent the interest rate concept. It encapsulates compounding algebra and year fraction conventions. It allows to calculate capitalization of capital and coupon paid by investment. It also enables to calculate discount factors, zero coupon rates and forward rates if appropriate data provided.

Examples:: algebraicBootstrapperExample.cpp, bondsExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, DepositExample.cpp, InterestRateExample.cpp, optionPricingExample.cpp, rootFindingBootstrapperExample.cpp, serializationExample.cpp, and unconstrainedBootstrapperExample.cpp.

Constructor & Destructor Documentation

julian::InterestRate::InterestRate ( )

Constructor.

Method creates the interest rate instance on the basis of compounding and year fraction convention.

julian::InterestRate::InterestRate	(	const SmartPointer< Compounding > &	compounding,
		const SmartPointer< YearFraction > &	year_fraction
	)

Constructor.

Method creates the interest rate instance on the basis of compounding and year fraction convention.

Member Function Documentation

double julian::InterestRate::capitalization	(	Date	d1,
		Date	d2,
		double	r
	)		const

Calculates capitalization.

This method calculates the future value of 1 monetary unit. More specifically it calculates what is the value of 1 monetary unit invested on date1 at a rate of r per year. The investment ends at date2. The compounding and year fraction convention is defined during construction of the interest rate object.

Examples:: InterestRateExample.cpp.

InterestRate * julian::InterestRate::clone ( ) const

Virtual copy constructor.

Method is an implementation of virtual copy constructor.

double julian::InterestRate::coupon	(	Date	d1,
		Date	d2,
		double	r
	)		const

Calculates coupon.

This method calculates the yield of investment that starts at date1 and ends at date2. The interest rate value should be provided. The compounding and year fraction convention is defined during construction of the interest rate object.

Examples:: InterestRateExample.cpp.

double julian::InterestRate::DF	(	Date	d1,
		Date	d2,
		double	r
	)		const

Calculates discount factor.

This method calculates the present value of 1 monetary unit. More specifically it calculates how many monetary units should be invested at date1 at a rate of r per year in order to receive 1 monetary unit at date2. The compounding and year fraction convention is defined during construction of the interest rate object.

Examples:: InterestRateExample.cpp.

double julian::InterestRate::fwdRate	(	Date	d1,
		Date	d2,
		double	DF1,
		double	DF2
	)		const

Calculates forward rate.

This methods calculate forward rate on the basis of two discount factors and two dates. The forward rate is the interest rate for the investment that starts at future date date1 and ends at date2. The compounding and year fraction convention is defined during construction of the interest rate object.

Examples:: InterestRateExample.cpp.

template<class Archive >

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

inline

interface used by Boost serialization library

double julian::InterestRate::yf	(	Date	d1,
		Date	d2
	)		const

Calculates year fraction.

This methods calculates the year fraction between two dates. The year fraction convention is defined during the construction of interest rate object.

double julian::InterestRate::zcRate	(	Date	d1,
		Date	d2,
		double	DF
	)		const

Calculates zero coupon rate.

This methods calculate zero coupon rate on the basis of discount factor and two dates. The zero coupon rate is the interest rate for the investment that starts at date1 and ends at datd2. The compounding and year fraction convention is defined during construction of the interest rate object.

Examples:: InterestRateExample.cpp.

Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	s,
		InterestRate &	r
	)

friend

Overloads stream operator.

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

Member Data Documentation

SmartPointer<Compounding> julian::InterestRate::compounding_

private

Attribute maintaining compounding convention.

This is the compounding convention used by interest rate class. It is provided during the construction of the object

SmartPointer<YearFraction> julian::InterestRate::year_fraction_

private

Attribute maintaining year fraction convention.

This is the year fraction convention used by interest rate class. It is provided during the construction of the object

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

C:/Unix/home/OEM/jULIAN/src/interestRates/interestRate.hpp
C:/Unix/home/OEM/jULIAN/src/interestRates/interestRate.cpp

Public Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation