InterpolatedDiscountCurve Class Reference

InterpolatedDiscountCurve based on loglinear interpolation of DiscountFactors. More...

#include <qle/termstructures/interpolateddiscountcurve.hpp>

Inheritance diagram for InterpolatedDiscountCurve:

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

TermStructure interface
DiscountFactor	discountImpl (Time t) const override

Constructors
	InterpolatedDiscountCurve (const std::vector< Time > &times, const std::vector< Handle< Quote >> &quotes, const Natural settlementDays, const Calendar &cal, const DayCounter &dc, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	default constructor
	InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< Handle< Quote >> &quotes, const Natural settlementDays, const Calendar &cal, const DayCounter &dc, const Interpolation interpolation=Interpolation::logLinear, const Extrapolation extrapolation=Extrapolation::flatFwd)
	constructor that takes a vector of dates

Detailed Description

InterpolatedDiscountCurve based on loglinear interpolation of DiscountFactors.

InterpolatedDiscountCurve based on loglinear interpolation of DiscountFactors, flat fwd extrapolation is always enabled, the term structure has always a floating reference date

\ingroup termstructures