InterestRate Class Reference
#include <ql/interestrate.hpp>
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
Public Member Functions | |
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 &) |
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.