org.jquantlib.termstructures.yieldcurves

Class ZeroYieldStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.AbstractYieldTermStructure

org.jquantlib.termstructures.yieldcurves.ZeroYieldStructure

All Implemented Interfaces:

Extrapolator, TermStructure, YieldTermStructure, Observable, Observer

Direct Known Subclasses:

InterpolatedZeroCurve, ZeroSpreadedTermStructure

public abstract class ZeroYieldStructure
extends AbstractYieldTermStructure

Zero-yield term structure

This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the zeroYieldImpl(Time, bool) method in derived classes. Discount and forward are calculated from zero yields.

Rates are assumed to be annual continuous compounding.

See Also:

documentation for issues regarding constructors.

Constructor Summary

Constructors

Constructor and Description
ZeroYieldStructure()
ZeroYieldStructure(Date refDate)
ZeroYieldStructure(Date refDate, Calendar cal)
ZeroYieldStructure(Date refDate, Calendar cal, DayCounter dc)
ZeroYieldStructure(Date refDate, DayCounter dc)
ZeroYieldStructure(DayCounter dc)
ZeroYieldStructure(int settlementDays, Calendar cal)
ZeroYieldStructure(int settlementDays, Calendar cal, DayCounter dc)

Method Summary

Methods inherited from class org.jquantlib.termstructures.AbstractYieldTermStructure

discount, discount, discount, discount, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, parRate, parRate, parRate, zeroRate, zeroRate, zeroRate, zeroRate

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, dayCounter, deleteObserver, deleteObservers, disableExtrapolation, enableExtrapolation, getObservers, maxTime, notifyObservers, notifyObservers, referenceDate, settlementDays, timeFromReference, update

Methods inherited from class java.lang.Object

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

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

Constructor Detail

ZeroYieldStructure

public ZeroYieldStructure()

Parameters:

dc -

See Also:

documentation for issues regarding constructors.

ZeroYieldStructure

public ZeroYieldStructure(DayCounter dc)

Parameters:

dc -

See Also:

documentation for issues regarding constructors.

ZeroYieldStructure

public ZeroYieldStructure(Date refDate,
                          Calendar cal)

Parameters:

refDate -

cal -

dc -

See Also:

documentation for issues regarding constructors.

ZeroYieldStructure

public ZeroYieldStructure(Date refDate,
                          DayCounter dc)

Parameters:

refDate -

cal -

dc -

See Also:

documentation for issues regarding constructors.

ZeroYieldStructure

public ZeroYieldStructure(Date refDate)

Parameters:

refDate -

cal -

dc -

See Also:

documentation for issues regarding constructors.

ZeroYieldStructure

public ZeroYieldStructure(Date refDate,
                          Calendar cal,
                          DayCounter dc)

Parameters:

refDate -

cal -

dc -

See Also:

documentation for issues regarding constructors.

ZeroYieldStructure

public ZeroYieldStructure(int settlementDays,
                          Calendar cal)

Parameters:

settlementDays -

cal -

dc -

See Also:

documentation for issues regarding constructors.

ZeroYieldStructure

public ZeroYieldStructure(int settlementDays,
                          Calendar cal,
                          DayCounter dc)

Parameters:

settlementDays -

cal -

dc -

See Also:

documentation for issues regarding constructors.