InterpolatedDiscountCurve2 as in QuantLib, but with floating discount quotes and floating reference date. More...
#include <qle/termstructures/interpolateddiscountcurve2.hpp>
Public Types | |
enum class | Interpolation { logLinear , linearZero } |
enum class | Extrapolation { flatFwd , flatZero } |
Constructors | |
InterpolatedDiscountCurve2 (const std::vector< Time > ×, const std::vector< Handle< Quote >> "es, 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 >> "es, const DayCounter &dc, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd) | |
date based constructor | |
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 |
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