QuantLib_InterestRate (3) - Linux Manuals

QuantLib_InterestRate: Concrete interest rate class.

NAME

QuantLib::InterestRate - Concrete interest rate class.

SYNOPSIS

#include <ql/interestrate.hpp>

Public Member Functions

constructors

InterestRate ()
Default constructor returning a null interest rate.
InterestRate (Rate r, const DayCounter &dc=Actual365Fixed(), Compounding comp=Continuous, Frequency freq=Annual)
Standard constructor.

conversions

operator Rate () const

inspectors

Rate rate () const

const DayCounter & dayCounter () const

Compounding compounding () const

Frequency frequency () const

discount/compound factor calculations

DiscountFactor discountFactor (Time t) const
discount factor implied by the rate compounded at time t.
DiscountFactor discountFactor (const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date()) const
discount factor implied by the rate compounded between two dates
Real compoundFactor (Time t) const
compound factor implied by the rate compounded at time t.
Real compoundFactor (const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date()) const
compound factor implied by the rate compounded between two dates

equivalent rate calculations

InterestRate equivalentRate (Time t, Compounding comp, Frequency freq=Annual) const
equivalent interest rate for a compounding period t.
InterestRate equivalentRate (Date d1, Date d2, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual) const
equivalent rate for a compounding period between two dates

Static Public Member Functions

implied rate calculations

static InterestRate impliedRate (Real compound, Time t, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual)
implied interest rate for a given compound factor at a given time.
static InterestRate impliedRate (Real compound, const Date &d1, const Date &d2, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual)
implied rate for a given compound factor between two dates.

Related Functions

(Note that these are not member functions.)
std::ostream & operator<< (std::ostream &, const InterestRate &)

Detailed Description

Concrete interest rate class.

This class encapsulate the interest rate compounding algebra. It manages day-counting conventions, compounding conventions, conversion between different conventions, discount/compound factor calculations, and implied/equivalent rate calculations.

Tests

Converted rates are checked against known good results

Examples:

CallableBonds.cpp, and FittedBondCurve.cpp.

Member Function Documentation

DiscountFactor discountFactor (Time t) const

discount factor implied by the rate compounded at time t.

Warning

Time must be measured using InterestRate's own day counter.

Real compoundFactor (Time t) const

compound factor implied by the rate compounded at time t.

returns the compound (a.k.a capitalization) factor implied by the rate compounded at time t.

Warning

Time must be measured using InterestRate's own day counter.

Real compoundFactor (const Date & d1, const Date & d2, const Date & refStart = Date(), const Date & refEnd = Date()) const

compound factor implied by the rate compounded between two dates

returns the compound (a.k.a capitalization) factor implied by the rate compounded between two dates.

static InterestRate impliedRate (Real compound, Time t, const DayCounter & resultDC, Compounding comp, Frequency freq = Annual) [static]

implied interest rate for a given compound factor at a given time.

The resulting InterestRate has the day-counter provided as input.

Warning

Time must be measured using the day-counter provided as input.

static InterestRate impliedRate (Real compound, const Date & d1, const Date & d2, const DayCounter & resultDC, Compounding comp, Frequency freq = Annual) [static]

implied rate for a given compound factor between two dates.

The resulting rate is calculated taking the required day-counting rule into account.

InterestRate equivalentRate (Time t, Compounding comp, Frequency freq = Annual) const

equivalent interest rate for a compounding period t.

The resulting InterestRate shares the same implicit day-counting rule of the original InterestRate instance.

Warning

Time must be measured using the InterestRate's own day counter.

InterestRate equivalentRate (Date d1, Date d2, const DayCounter & resultDC, Compounding comp, Frequency freq = Annual) const

equivalent rate for a compounding period between two dates

The resulting rate is calculated taking the required day-counting rule into account.

Friends And Related Function Documentation

std::ostream & operator<< (std::ostream &, const InterestRate &) [related]

Author

Generated automatically by Doxygen for QuantLib from the source code.