- QuantLib
- InterestRate
Concrete interest rate class. More...
#include <ql/interestrate.hpp>
Public Member Functions | |
constructors | |
InterestRate () | |
Default constructor returning a null interest rate. | |
InterestRate (Rate r, const DayCounter &dc, Compounding comp, Frequency freq) | |
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 (Compounding comp, Frequency freq, Time t) const |
equivalent interest rate for a compounding period t. | |
InterestRate | equivalentRate (const DayCounter &resultDC, Compounding comp, Frequency freq, Date d1, Date d2, const Date &refStart=Date(), const Date &refEnd=Date()) const |
equivalent rate for a compounding period between two dates | |
Static Public Member Functions | |
implied rate calculations | |
static InterestRate | impliedRate (Real compound, const DayCounter &resultDC, Compounding comp, Frequency freq, Time t) |
implied interest rate for a given compound factor at a given time. | |
static InterestRate | impliedRate (Real compound, const DayCounter &resultDC, Compounding comp, Frequency freq, const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date()) |
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 &) |
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.
DiscountFactor discountFactor | ( | Time | t | ) | const |
discount factor implied by the rate compounded at time t.
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.
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, |
const DayCounter & | resultDC, | ||
Compounding | comp, | ||
Frequency | freq, | ||
Time | t | ||
) | [static] |
implied interest rate for a given compound factor at a given time.
The resulting InterestRate has the day-counter provided as input.
static InterestRate impliedRate | ( | Real | compound, |
const DayCounter & | resultDC, | ||
Compounding | comp, | ||
Frequency | freq, | ||
const Date & | d1, | ||
const Date & | d2, | ||
const Date & | refStart = Date() , |
||
const Date & | refEnd = Date() |
||
) | [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 | ( | Compounding | comp, |
Frequency | freq, | ||
Time | t | ||
) | const |
equivalent interest rate for a compounding period t.
The resulting InterestRate shares the same implicit day-counting rule of the original InterestRate instance.
InterestRate equivalentRate | ( | const DayCounter & | resultDC, |
Compounding | comp, | ||
Frequency | freq, | ||
Date | d1, | ||
Date | d2, | ||
const Date & | refStart = Date() , |
||
const Date & | refEnd = Date() |
||
) | const |
equivalent rate for a compounding period between two dates
The resulting rate is calculated taking the required day-counting rule into account.
std::ostream & operator<< | ( | std::ostream & | , |
const InterestRate & | |||
) | [related] |