julian::ir::InterpolateLogarithmOfDF Class Reference

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

#include <interpolateLogOfDF.hpp>

Inheritance diagram for julian::ir::InterpolateLogarithmOfDF:

Public Member Functions
	InterpolateLogarithmOfDF ()
	Constructor. More...
virtual double	operator() (double, double, InterestRate, Date, Date, Date) const
	Calculates inputs form DF. More...
virtual double	getDF (double, InterestRate, Date, Date) const
	Calculate DF form result of interpolation. More...
virtual InterpolateLogarithmOfDF *	clone () const
	Virtual copy constructor. More...
virtual	~InterpolateLogarithmOfDF ()
	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 logarithm of 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::InterpolateLogarithmOfDF::InterpolateLogarithmOfDF ( )

inline

Constructor.

Constructor.

virtual julian::ir::InterpolateLogarithmOfDF::~InterpolateLogarithmOfDF ( )

inlinevirtual

Destructor.

Destructor.

Member Function Documentation

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

virtual

Virtual copy constructor.

Method is an implementation of virtual copy constructor.

Implements julian::ir::InterpolationInput.

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

virtual

Calculate DF form result of interpolation.

Because class implements interpolating discount factor, this method calculates the exponential of interpolation results.

Parameters

x	result of interpolation

Implements julian::ir::InterpolationInput.

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

virtual

Info about class.

Method returns string that containing information about class.

Implements julian::ir::InterpolationInput.

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

virtual

Calculates 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 calculates natural logarithm of DF.

Parameters

DF2	Discount factor

Implements julian::ir::InterpolationInput.

template<class Archive >

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

inlineprivate

interface used by Boost serialization library

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

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