InterpolatedDiscountCurve2 Class Reference

InterpolatedDiscountCurve2 as in QuantLib, but with floating discount quotes and floating reference date. More...

#include <qle/termstructures/interpolateddiscountcurve2.hpp>

Inheritance diagram for InterpolatedDiscountCurve2:

Public Types
enum class	Interpolation { logLinear , linearZero }
enum class	Extrapolation { flatFwd , flatZero }

Constructors
	InterpolatedDiscountCurve2 (const std::vector< Time > &times, const std::vector< Handle< Quote > > &quotes, const DayCounter &dc, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	times based constructor, note that times should be consistent with day counter dc passed
	InterpolatedDiscountCurve2 (const std::vector< Date > &dates, const std::vector< Handle< Quote > > &quotes, const DayCounter &dc, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	date based constructor
void	makeThisCurveSpreaded (const std::vector< Handle< YieldTermStructure > > &bases, const std::vector< double > &multiplier)
Date	maxDate () const override
void	update () override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
void	performCalculations () const override
DiscountFactor	discountImpl (Time t) const override

Detailed Description

InterpolatedDiscountCurve2 as in QuantLib, but with floating discount quotes and floating reference date.

InterpolatedDiscountCurve2 as in QuantLib, but with floating discount quotes and floating reference date, reference date is always the global evaluation date, i.e. settlement days are zero and calendar is NullCalendar()

\ingroup termstructures