Public Types | Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
QuantLibAddin::InterpolatedYieldCurve Class Reference

#include <qlo/yieldtermstructures.hpp>

Inheritance diagram for QuantLibAddin::InterpolatedYieldCurve:
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Public Types

enum  Traits { Discount, ForwardRate, ZeroYield }
 
enum  Interpolator {
  BackwardFlat, ForwardFlat, Linear, LogLinear,
  CubicNaturalSpline, LogCubicNaturalSpline, MonotonicCubicNaturalSpline, MonotonicLogCubicNaturalSpline,
  KrugerCubic, KrugerLogCubic, FritschButlandCubic, FritschButlandLogCubic,
  Parabolic, LogParabolic, MonotonicParabolic, MonotonicLogParabolic,
  MixedLinearCubicNaturalSpline, LogMixedLinearCubicNaturalSpline, MixedLinearMonotonicCubicNaturalSpline, LogMixedLinearMonotonicCubicNaturalSpline,
  MixedLinearKrugerCubic, LogMixedLinearKrugerCubic
}
 

Public Member Functions

 InterpolatedYieldCurve (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &data, const QuantLib::Calendar &calendar, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Handle< QuantLib::Quote > > &jumps, const std::vector< QuantLib::Date > &jumpDates, const std::string &traitsID, const std::string &interpolatorID, const QuantLib::MixedInterpolation::Behavior behavior, const QuantLib::Size n, bool permanent=false)
 
const std::vector< QuantLib::Time > & times () const
 
const std::vector< QuantLib::Date > & dates () const
 
const std::vector< QuantLib::Real > & data () const
 
const std::vector< QuantLib::Time > & jumpTimes () const
 
const std::vector< QuantLib::Date > & jumpDates () const
 

Protected Member Functions

 InterpolatedYieldCurve (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const std::string &traitsID, const std::string &interpolatorID, bool permanent)
 

Protected Attributes

std::string traitsID_
 
std::string interpolatorID_
 

Member Enumeration Documentation

◆ Interpolator

enum QuantLibAddin::InterpolatedYieldCurve::Interpolator
Enumerator
BackwardFlat 
ForwardFlat 
Linear 
LogLinear 
CubicNaturalSpline 
LogCubicNaturalSpline 
MonotonicCubicNaturalSpline 
MonotonicLogCubicNaturalSpline 
KrugerCubic 
KrugerLogCubic 
FritschButlandCubic 
FritschButlandLogCubic 
Parabolic 
LogParabolic 
MonotonicParabolic 
MonotonicLogParabolic 
MixedLinearCubicNaturalSpline 
LogMixedLinearCubicNaturalSpline 
MixedLinearMonotonicCubicNaturalSpline 
LogMixedLinearMonotonicCubicNaturalSpline 
MixedLinearKrugerCubic 
LogMixedLinearKrugerCubic 

◆ Traits

enum QuantLibAddin::InterpolatedYieldCurve::Traits
Enumerator
Discount 
ForwardRate 
ZeroYield 

Constructor & Destructor Documentation

◆ InterpolatedYieldCurve() [1/2]

QuantLibAddin::InterpolatedYieldCurve::InterpolatedYieldCurve ( const boost::shared_ptr< ObjectHandler::ValueObject > &  properties,
const std::vector< QuantLib::Date > &  dates,
const std::vector< QuantLib::Real > &  data,
const QuantLib::Calendar &  calendar,
const QuantLib::DayCounter &  dayCounter,
const std::vector< QuantLib::Handle< QuantLib::Quote > > &  jumps,
const std::vector< QuantLib::Date > &  jumpDates,
const std::string &  traitsID,
const std::string &  interpolatorID,
const QuantLib::MixedInterpolation::Behavior  behavior,
const QuantLib::Size  n,
bool  permanent = false 
)

◆ InterpolatedYieldCurve() [2/2]

QuantLibAddin::InterpolatedYieldCurve::InterpolatedYieldCurve ( const boost::shared_ptr< ObjectHandler::ValueObject > &  properties,
const std::string &  traitsID,
const std::string &  interpolatorID,
bool  permanent 
)
protected

Member Function Documentation

◆ data()

const std::vector<QuantLib::Real>& QuantLibAddin::InterpolatedYieldCurve::data ( ) const

◆ dates()

const std::vector<QuantLib::Date>& QuantLibAddin::InterpolatedYieldCurve::dates ( ) const

◆ jumpDates()

const std::vector<QuantLib::Date>& QuantLibAddin::InterpolatedYieldCurve::jumpDates ( ) const

◆ jumpTimes()

const std::vector<QuantLib::Time>& QuantLibAddin::InterpolatedYieldCurve::jumpTimes ( ) const

◆ times()

const std::vector<QuantLib::Time>& QuantLibAddin::InterpolatedYieldCurve::times ( ) const

Member Data Documentation

◆ interpolatorID_

std::string QuantLibAddin::InterpolatedYieldCurve::interpolatorID_
protected

◆ traitsID_

std::string QuantLibAddin::InterpolatedYieldCurve::traitsID_
protected
The documentation for this class was generated from the following file: