InterestRate Class Reference

Concrete interest rate class. More...

#include <ql/interestrate.hpp>

Public Member Functions
constructors
	InterestRate ()
	Default constructor returning a null interest rate.
	InterestRate (Rate r, DayCounter dc, Compounding comp, Frequency freq)
	Standard constructor.
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

Static Public Member Functions
implied rate calculations
static InterestRate	impliedRate (Real compound, const DayCounter &resultDC, Compounding comp, Frequency freq, Time t)
	implied interest rate for a given compound factor at a given time.
static InterestRate	impliedRate (Real compound, const DayCounter &resultDC, Compounding comp, Frequency freq, const Date &d1, const Date &d2, const Date &refStart=Date(), const Date &refEnd=Date())
	implied rate for a given compound factor between two dates.

Related Symbols
(Note that these are not member symbols.)
std::ostream &	operator<< (std::ostream &, const InterestRate &)

equivalent rate calculations
InterestRate	equivalentRate (Compounding comp, Frequency freq, Time t) const
	equivalent interest rate for a compounding period t.
InterestRate	equivalentRate (const DayCounter &resultDC, Compounding comp, Frequency freq, Date d1, Date d2, const Date &refStart=Date(), const Date &refEnd=Date()) const
	equivalent rate for a compounding period between two dates

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

Examples

CallableBonds.cpp.

Member Function Documentation

discountFactor()

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.

compoundFactor() [1/2]

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.

compoundFactor() [2/2]

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.

impliedRate() [1/2]

InterestRate impliedRate ( Real compound, const DayCounter & resultDC, Compounding comp, Frequency freq, Time t )

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.

impliedRate() [2/2]

InterestRate impliedRate ( Real compound, const DayCounter & resultDC, Compounding comp, Frequency freq, const Date & d1, const Date & d2, const Date & refStart = Date(), const Date & refEnd = Date() )

static

implied rate for a given compound factor between two dates.

The resulting rate is calculated taking the required day-counting rule into account.

equivalentRate() [1/2]

InterestRate equivalentRate	(	Compounding	comp,
		Frequency	freq,
		Time	t ) 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.

equivalentRate() [2/2]

InterestRate equivalentRate	(	const DayCounter &	resultDC,
		Compounding	comp,
		Frequency	freq,
		Date	d1,
		Date	d2,
		const Date &	refStart = Date(),
		const Date &	refEnd = Date() ) const

equivalent rate for a compounding period between two dates

The resulting rate is calculated taking the required day-counting rule into account.