yieldCurve.h File Reference

#include "../common/types.h"
#include "../common/date.h"
#include "../common/interpolator.h"
#include "../common/matrix.h"
#include "..\common\utils.h"
#include <string>
#include <math.h>
#include <algorithm>
#include <time.h>

Go to the source code of this file.

Classes
class	yieldPoint
class	yieldCurve
Defines
#define	YC_NAME_STRLEN   128
#define	YC_DEFAULT_NUMER_POINTS   15
#define	YC_MAX_NUMBER_POINTS   50
Enumerations
enum	interestComposition { Discrete, Continuous }
enum	TypeOfRate { Cash, Swap }
Variables
const Real	defaultshiftfactorForShortRate = 0.0001

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Define Documentation

#define YC_DEFAULT_NUMER_POINTS   15

Definition at line 18 of file yieldCurve.h.

#define YC_MAX_NUMBER_POINTS   50

Definition at line 19 of file yieldCurve.h. Referenced by FileReader::buildYieldPointArray(), yieldCurve::getSwapRates(), yieldCurve::sortMarketRatesByMaturity(), and yieldCurve::yieldCurve().

#define YC_NAME_STRLEN   128

Definition at line 17 of file yieldCurve.h.

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Enumeration Type Documentation

enum interestComposition

Author: Yann Enumeration values: Discrete  Continuous  Definition at line 24 of file yieldCurve.h.

enum TypeOfRate

Enumeration values: Cash  Swap  Definition at line 29 of file yieldCurve.h. Referenced by FileReader::buildYieldPointArray(), and yieldPoint::getType().

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Variable Documentation

const Real defaultshiftfactorForShortRate = 0.0001 [static]

Definition at line 90 of file yieldCurve.h.

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