Class is an abstract class that represents the subject of interpolation performed in swap curve operations. More...

#include <interpolationInput.hpp>

Inheritance diagram for julian::ir::InterpolationInput:

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

virtual double	operator() (double DF1, double DF2, InterestRate rate, Date date0, Date date1, Date date2) const =0
	Calculates inputs form DF. More...

virtual double	getDF (double x, InterestRate rate, Date date1, Date date2) const =0
	Calculate DF form result of interpolation. More...

virtual InterpolationInput *	clone () const =0
	Virtual copy constructor. More...

virtual std::string	info () const =0
	Info about class. 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

Class is an abstract class that represents the subject of interpolation performed in swap curve operations.

This class is a interface of all interpolation inputs (compare ir::CompoundedInterpolator).

Examples:: algebraicBootstrapperExample.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

Constructor & Destructor Documentation

julian::ir::InterpolationInput::InterpolationInput ( )

inline

Constructor.

Default constructor.

virtual julian::ir::InterpolationInput::~InterpolationInput ( )

inlinevirtual

Destructor.

Default destructor.

Member Function Documentation

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

pure virtual

Virtual copy constructor.

Method is an implementation of virtual copy constructor.

Implemented in julian::ir::InterpolateDF, julian::ir::InterpolateLogarithmOfDF, julian::ir::InterpolateInverseDF, and julian::ir::InterpolateZCRate.

virtual double julian::ir::InterpolationInput::getDF	(	double	x,
		InterestRate	rate,
		Date	date1,
		Date	date2
	)		const

pure virtual

Calculate DF form result of interpolation.

Method recalculates DF from interpolation inputs.

Parameters

x	result of interpolation
rate	Input gives the convention of interest rate (compounding and year fraction)
date1	middle date
date2	end date

Implemented in julian::ir::InterpolateDF, julian::ir::InterpolateLogarithmOfDF, julian::ir::InterpolateInverseDF, and julian::ir::InterpolateZCRate.

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

pure virtual

Info about class.

Method returns string that containing information about class.

Implemented in julian::ir::InterpolateLogarithmOfDF, julian::ir::InterpolateDF, julian::ir::InterpolateInverseDF, and julian::ir::InterpolateZCRate.

virtual double julian::ir::InterpolationInput::operator()	(	double	DF1,
		double	DF2,
		InterestRate	rate,
		Date	date0,
		Date	date1,
		Date	date2
	)		const

pure virtual

Calculates inputs form DF.

Swap curve maintains interest rate term structure as vector of default factors. To perform an interpolation according to given convention (interpolation of zcr, fwd rates etc) one must transform DF to appropriate inputs. This method performs those calculations.

Parameters

DF1	Discount factor for date1
DF2	Discount factor for date2
rate	Input gives the convention of interest rate (compounding and year fraction)
date0	today date
date1	middle date
date2	end date

Implemented in julian::ir::InterpolateDF, julian::ir::InterpolateLogarithmOfDF, julian::ir::InterpolateInverseDF, and julian::ir::InterpolateZCRate.

template<class Archive >

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

inlineprivate

interface used by Boost serialization library

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

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

Public Member Functions

Private Member Functions

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation