The class encapsulates the concept of interpolating zero-coupon rates. More...

#include <interpolateZCRate.hpp>

Inheritance diagram for julian::ir::InterpolateZCRate:

Public Member Functions
	InterpolateZCRate ()
	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 InterpolateZCRate *	clone () const
	Virtual copy constructor. More...

virtual	~InterpolateZCRate ()
	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 zero-coupon rates.

Class encapsulates the idea of interpolating zero-coupon rates. It is a part of strategy design pattern implemented in interpolator.

Examples:: bootstrapperComparison.cpp.

Constructor & Destructor Documentation

julian::ir::InterpolateZCRate::InterpolateZCRate ( )

inline

Constructor.

virtual julian::ir::InterpolateZCRate::~InterpolateZCRate ( )

inlinevirtual

Destructor.

Member Function Documentation

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

virtual

Virtual copy constructor.

Method is an implementation of virtual copy constructor.

Implements julian::ir::InterpolationInput.

double julian::ir::InterpolateZCRate::getDF	(	double	x,
		InterestRate	r,
		Date	d1,
		Date	d2
	)		const

virtual

Calculate DF form result of interpolation.

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

Parameters

x	result of interpolation
r	Interest rates needed to calculate zero coupon rate.
d1	Today date needed to calculate YF
d2	maturity date needed to calculate YF

Implements julian::ir::InterpolationInput.

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

virtual

Info about class.

Method returns name of class

Implements julian::ir::InterpolationInput.

double julian::ir::InterpolateZCRate::operator()	(	double	,
		double	DF2,
		InterestRate	r,
		Date	today,
		Date	,
		Date	d2
	)		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. Because class implements interpolating discount factor, all what it does is forwarding received DF2.

Parameters

DF2	Discount factor for date2
r	Interest rates needed to calculate zero coupon rate.
today	Today date needed to calculate YF
d2	maturity date needed to calculate YF

Implements julian::ir::InterpolationInput.

template<class Archive >

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

private

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

Public Member Functions

Private Member Functions

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation