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.
discount factor implied by the rate compounded between two dates
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.
equivalent rate for a compounding period between two dates
The resulting rate is calculated taking the required day-counting rule into account.
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.
implied rate for a given compound factor between two dates.
The resulting rate is calculated taking the required day-counting rule into account.
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.
Converted rates are checked against known good results