org.jquantlib.termstructures

Class InterestRate

java.lang.Object

org.jquantlib.termstructures.InterestRate

public class InterestRate
extends java.lang.Object

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.

Constructor Summary

Constructors

Constructor and Description
InterestRate() Default constructor returning a null interest rate.
InterestRate(double r, DayCounter dc) Standard constructor.
InterestRate(double r, DayCounter dc, Compounding comp) Standard constructor.
InterestRate(double r, DayCounter dc, Compounding comp, Frequency freq) Standard constructor.

Method Summary

Modifier and Type	Method and Description
double	compoundFactor(Date d1, Date d2)
double	compoundFactor(Date d1, Date d2, Date refStart, Date refEnd)
double	compoundFactor(double time)
Compounding	compounding()
DayCounter	dayCounter()
double	discountFactor(Date d1, Date d2)
double	discountFactor(Date d1, Date d2, Date refStart)
double	discountFactor(Date d1, Date d2, Date refStart, Date refEnd)
double	discountFactor(double t)
InterestRate	equivalentRate(Date d1, Date d2, DayCounter resultDC, Compounding comp)
InterestRate	equivalentRate(Date d1, Date d2, DayCounter resultDC, Compounding comp, Frequency freq) Returns equivalent rate for a compounding period between two dates.
InterestRate	equivalentRate(double t, Compounding comp)
InterestRate	equivalentRate(double t, Compounding comp, Frequency freq) Returns equivalent interest rate for a compounding period t.
Frequency	frequency()
static InterestRate	impliedRate(double compound, Date d1, Date d2, DayCounter resultDC, Compounding comp)
static InterestRate	impliedRate(double compound, Date d1, Date d2, DayCounter resultDC, Compounding comp, Frequency freq) Implied rate for a given compound factor between two dates.
static InterestRate	impliedRate(double compound, double t, DayCounter resultDC, Compounding comp)
static InterestRate	impliedRate(double c, double time, DayCounter resultDC, Compounding comp, Frequency freq) Implied interest rate for a given compound factor at a given time.
double	rate()
java.lang.String	toString()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

InterestRate

public InterestRate()

Default constructor returning a null interest rate.

InterestRate

public InterestRate(double r,
                    DayCounter dc)

Standard constructor. Assumes a Frequency.Annual

Parameters:

r - represents the rate

dc - is a DayCounter

InterestRate

public InterestRate(double r,
                    DayCounter dc,
                    Compounding comp)

Standard constructor. Assumes a Frequency.Annual

Parameters:

r - represents the rate

dc - is a DayCounter

comp - is a Compounding

InterestRate

public InterestRate(double r,
                    DayCounter dc,
                    Compounding comp,
                    Frequency freq)

Standard constructor.

Parameters:

r - represents the rate

dc - is a DayCounter

comp - is a Compounding

freq - represents a Frequency

Method Detail

compoundFactor

public final double compoundFactor(double time)

Returns:

the compound (a.k.a capitalization) factor implied by the rate compounded at time t.

compoundFactor

public final double compoundFactor(Date d1,
                                   Date d2)

compoundFactor

public final double compoundFactor(Date d1,
                                   Date d2,
                                   Date refStart,
                                   Date refEnd)

dayCounter

public final DayCounter dayCounter()

Returns:

the DayCounter

compounding

public final Compounding compounding()

Returns:

the Compounding

frequency

public final Frequency frequency()

Returns:

the Frequency

discountFactor

public final double discountFactor(double t)

Parameters:

t - time must be measured using InterestRate's own day counter.

Returns:

discount factor implied by the rate compounded at time t.

discountFactor

public final double discountFactor(Date d1,
                                   Date d2)

Parameters:

d1 - is the start date

d2 - is the end date

Returns:

discount factor implied by the rate compounded between two dates

discountFactor

public final double discountFactor(Date d1,
                                   Date d2,
                                   Date refStart)

Parameters:

d1 - is the start date

d2 - is the end date

refStart -

Returns:

compound factor implied by the rate compounded between two dates

discountFactor

public final double discountFactor(Date d1,
                                   Date d2,
                                   Date refStart,
                                   Date refEnd)

Returns:

the compound (a.k.a capitalization) factor implied by the rate compounded between two dates.

equivalentRate

public final InterestRate equivalentRate(double t,
                                         Compounding comp)

equivalentRate

public final InterestRate equivalentRate(double t,
                                         Compounding comp,
                                         Frequency freq)

Returns equivalent interest rate for a compounding period t. The resulting InterestRate shares the same implicit day-counting rule of the original InterestRate instance.

Time must be measured using the InterestRate's own day counter.

Returns:

equivalent interest rate for a compounding period t.

equivalentRate

public final InterestRate equivalentRate(Date d1,
                                         Date d2,
                                         DayCounter resultDC,
                                         Compounding comp)

equivalentRate

public final InterestRate equivalentRate(Date d1,
                                         Date d2,
                                         DayCounter resultDC,
                                         Compounding comp,
                                         Frequency freq)

Returns equivalent rate for a compounding period between two dates. The resulting rate is calculated taking the required day-counting rule into account.

impliedRate

public static InterestRate impliedRate(double c,
                                       double time,
                                       DayCounter resultDC,
                                       Compounding comp,
                                       Frequency freq)

Implied interest rate for a given compound factor at a given time. The resulting InterestRate has the day-counter provided as input.

impliedRate

public static InterestRate impliedRate(double compound,
                                       double t,
                                       DayCounter resultDC,
                                       Compounding comp)

impliedRate

public static InterestRate impliedRate(double compound,
                                       Date d1,
                                       Date d2,
                                       DayCounter resultDC,
                                       Compounding comp)

impliedRate

public static InterestRate impliedRate(double compound,
                                       Date d1,
                                       Date d2,
                                       DayCounter resultDC,
                                       Compounding comp,
                                       Frequency freq)

Implied rate for a given compound factor between two dates. The resulting rate is calculated taking the required day-counting rule into account.

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object

rate

public final double rate()