org.jquantlib.termstructures

Interface YieldTermStructure

All Superinterfaces:

Extrapolator, Observable, Observer, TermStructure

All Known Subinterfaces:

PiecewiseCurve<I>, Traits.Curve

All Known Implementing Classes:

AbstractYieldTermStructure, FlatForward, ForwardRateStructure, ForwardSpreadedTermStructure, ImpliedTermStructure, InterpolatedDiscountCurve, InterpolatedForwardCurve, InterpolatedZeroCurve, PiecewiseYieldCurve, ZeroSpreadedTermStructure, ZeroYieldStructure

public interface YieldTermStructure
extends TermStructure

Interest rate term structure

Method Summary

Modifier and Type	Method and Description
double	discount(Date d) Returns the discount factor for a given date or time.
double	discount(Date d, boolean extrapolate) Returns the discount factor for a given date or time.
double	discount(double t) Returns the discount factor for a given date or time.
double	discount(double t, boolean extrapolate) Returns the discount factor for a given date or time.
InterestRate	forwardRate(Date d1, Date d2, DayCounter resultDayCounter, Compounding comp) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d1, Date d2, DayCounter resultDayCounter, Compounding comp, Frequency freq) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d1, Date d2, DayCounter dayCounter, Compounding comp, Frequency freq, boolean extrapolate) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d, Period p, DayCounter resultDayCounter, Compounding comp, Frequency freq) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d, Period p, DayCounter dayCounter, Compounding comp, Frequency freq, boolean extrapolate)
InterestRate	forwardRate(double t1, double t2, Compounding comp) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(double t1, double t2, Compounding comp, Frequency freq) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(double time1, double time2, Compounding comp, Frequency freq, boolean extrapolate) Returns the implied forward interest rate between two dates or times.
double	parRate(Date[] dates, Frequency freq, boolean extrapolate) Returns the implied par rate for a given sequence of payments at the given dates or times.
double	parRate(double[] times, Frequency frequency, boolean extrapolate) Returns the implied par rate for a given sequence of payments at the given dates or times.
double	parRate(int tenor, Date startDate, Frequency freq, boolean extrapolate) Returns the implied par rate for a given sequence of payments at the given dates or times.
InterestRate	zeroRate(Date d, DayCounter resultDayCounter, Compounding comp) Return the implied zero-yield rate for a given date or time.
InterestRate	zeroRate(Date d, DayCounter resultDayCounter, Compounding comp, Frequency freq) Return the implied zero-yield rate for a given date or time.
InterestRate	zeroRate(Date d, DayCounter dayCounter, Compounding comp, Frequency freq, boolean extrapolate) Return the implied zero-yield rate for a given date or time.
InterestRate	zeroRate(double time, Compounding comp, Frequency freq, boolean extrapolate) Return the implied zero-yield rate for a given date or time.

Methods inherited from interface org.jquantlib.termstructures.TermStructure

calendar, dayCounter, maxDate, maxTime, referenceDate, settlementDays, timeFromReference

Methods inherited from interface org.jquantlib.math.interpolations.Extrapolator

allowsExtrapolation, disableExtrapolation, enableExtrapolation

Methods inherited from interface org.jquantlib.util.Observer

update

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Method Detail

zeroRate

InterestRate zeroRate(Date d,
                      DayCounter resultDayCounter,
                      Compounding comp)

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the required day-counting rule.

zeroRate

InterestRate zeroRate(Date d,
                      DayCounter resultDayCounter,
                      Compounding comp,
                      Frequency freq)

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the required day-counting rule.

zeroRate

InterestRate zeroRate(Date d,
                      DayCounter dayCounter,
                      Compounding comp,
                      Frequency freq,
                      boolean extrapolate)

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the required day-counting rule.

zeroRate

InterestRate zeroRate(double time,
                      Compounding comp,
                      Frequency freq,
                      boolean extrapolate)

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed double t.

forwardRate

InterestRate forwardRate(Date d1,
                         Date d2,
                         DayCounter resultDayCounter,
                         Compounding comp)

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Dates are not adjusted for holidays

forwardRate

InterestRate forwardRate(Date d1,
                         Date d2,
                         DayCounter resultDayCounter,
                         Compounding comp,
                         Frequency freq)

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

See Also:

forwardRate(Date, Date, DayCounter, Compounding)

forwardRate

InterestRate forwardRate(Date d1,
                         Date d2,
                         DayCounter dayCounter,
                         Compounding comp,
                         Frequency freq,
                         boolean extrapolate)

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

See Also:

forwardRate(Date, Date, DayCounter, Compounding)

forwardRate

InterestRate forwardRate(double t1,
                         double t2,
                         Compounding comp)

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

See Also:

YieldTermStructure#forwardRate(Date, Date, DayCounter, org.jquantlib.termstructures.InterestRate.Compounding, Frequency)

forwardRate

InterestRate forwardRate(double t1,
                         double t2,
                         Compounding comp,
                         Frequency freq)

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

See Also:

YieldTermStructure#forwardRate(Date, Date, DayCounter, org.jquantlib.termstructures.InterestRate.Compounding, Frequency)

forwardRate

InterestRate forwardRate(double time1,
                         double time2,
                         Compounding comp,
                         Frequency freq,
                         boolean extrapolate)

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for the calculating the passed times t1 and t2.

forwardRate

InterestRate forwardRate(Date d,
                         Period p,
                         DayCounter resultDayCounter,
                         Compounding comp,
                         Frequency freq)

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

See Also:

forwardRate(Date, Date, DayCounter, Compounding)

forwardRate

InterestRate forwardRate(Date d,
                         Period p,
                         DayCounter dayCounter,
                         Compounding comp,
                         Frequency freq,
                         boolean extrapolate)

See Also:

forwardRate(Date, Date, DayCounter, Compounding)

discount

double discount(Date d)

Returns the discount factor for a given date or time. In the former case, the double is calculated as a fraction of year from the reference date.

discount

double discount(Date d,
                boolean extrapolate)

Returns the discount factor for a given date or time. In the former case, the double is calculated as a fraction of year from the reference date.

See Also:

org.jquantlib.termstructures.YieldTermStructureImpl#discount(org.jquantlib.time.Date, boolean)

discount

double discount(double t)

Returns the discount factor for a given date or time. In the former case, the double is calculated as a fraction of year from the reference date.

The same day-counting rule used by the term structure should be used for calculating the passed double t.

discount

double discount(double t,
                boolean extrapolate)

Returns the discount factor for a given date or time. In the former case, the double is calculated as a fraction of year from the reference date.

See Also:

org.jquantlib.termstructures.YieldTermStructureImpl#discount(double, boolean)

parRate

double parRate(int tenor,
               Date startDate,
               Frequency freq,
               boolean extrapolate)

Returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.

parRate

double parRate(Date[] dates,
               Frequency freq,
               boolean extrapolate)

Returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.

Parameters:

dates -

freq -

extrapolate -

Returns:

the first date in the vector must equal the start date; the following dates must equal the payment dates.

See Also:

parRate(int, Date, Frequency, boolean)

parRate

double parRate(double[] times,
               Frequency frequency,
               boolean extrapolate)

Returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.

Returns:

the first double in the vector must equal the start time; the following times must equal the payment times.

See Also:

parRate(int, Date, Frequency, boolean)