the calendar used for reference and/or option date calculation
date-range check
time-range check
the day counter used for date/time conversion
Discount factors
These methods return the discount factor from a given date or time to the reference date. In the latter case, the time 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 time t.
Returns the discount factor for the given date calculating it from the zero rate as $ d(t) = \exp \left( -z(t) t \right) $
The resulting interest rate has the required day-counting rule.
The resulting interest rate has the required day-counting rule. warning dates are not adjusted for holidays
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 times t1 and t2.
Jump inspectors
the latest date for which the curve can return values
the latest time for which the curve can return values
the date at which discount = 1.0 and/or variance = 0.0
the settlementDays used for reference date calculation
date/time conversion
The resulting interest rate has the required daycounting rule.
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 time t.
Returns the zero yield rate for the given date calculating it from the instantaneous forward rate $ f(t) $ as $$ z(t) = \int_0^t f(\tau) d\tau $$
warning This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.
Forward-rate term structure
This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the forwardImpl(Time) method in derived classes.
Zero yields and discounts are calculated from forwards.
Forward rates are assumed to be annual continuous compounding.