julian::ir::InterpolateInverseDF Class Reference

The class encapsulates the concept of interpolating inverse discount factors. More...

#include <interpolateInverseDF.hpp>

Inheritance diagram for julian::ir::InterpolateInverseDF:
julian::ir::InterpolationInput

Public Member Functions

 InterpolateInverseDF ()
 Constructor. More...
 
virtual double operator() (double, double, InterestRate, Date, Date, Date) const
 Calulate inputs form DF. More...
 
virtual double getDF (double, InterestRate, Date, Date) const
 Calculate DF form result of interpolation. More...
 
virtual InterpolateInverseDFclone () const
 Virtual copy constructor. More...
 
virtual ~InterpolateInverseDF ()
 Destructor. More...
 
virtual std::string info () const
 Info about class. More...
 
- Public Member Functions inherited from julian::ir::InterpolationInput
 InterpolationInput ()
 Constructor. More...
 
virtual ~InterpolationInput ()
 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

The class encapsulates the concept of interpolating inverse discount factors.

Class encapsulates the idea of interpolating discount factors. It is a part of strategy design pattern implemented in swap curve interpolator.

Constructor & Destructor Documentation

julian::ir::InterpolateInverseDF::InterpolateInverseDF ( )
inline

Constructor.

Constructor.

virtual julian::ir::InterpolateInverseDF::~InterpolateInverseDF ( )
inlinevirtual

Destructor.

Deconstructor.

Member Function Documentation

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

Virtual copy constructor.

Method is an implementation of virtual copy constructor.

Implements julian::ir::InterpolationInput.

double julian::ir::InterpolateInverseDF::getDF ( double  x,
InterestRate  ,
Date  ,
Date   
) const
virtual

Calculate DF form result of interpolation.

Because class implements interpolating discount factor, this method inverses received result of interpolation.

Parameters
xresult of interpolation

Implements julian::ir::InterpolationInput.

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

Info about class.

Method returns string that containing information about class.

Implements julian::ir::InterpolationInput.

double julian::ir::InterpolateInverseDF::operator() ( double  ,
double  DF2,
InterestRate  ,
Date  ,
Date  ,
Date   
) const
virtual

Calulate inputs form DF.

Swap curve maintains interest rate term structure as vector of default factors. The discount factors and appropriate dates are past from swap curve to interpolator. Before interpolation procedure is performed,this method inverses DF.

Parameters
DF2Discount factor for date2

Implements julian::ir::InterpolationInput.

template<class Archive >
void julian::ir::InterpolateInverseDF::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/interpolateInverseDF.hpp
  • C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/interpolators/interpolateInverseDF.cpp