Valuation library for inflation-indexed bonds
Public Member Functions | Friends | List of all members
AndrewKalotayAssociates::TipsVal::InterestRateModel Class Reference

Converts par yield curve into a discount factor curve. More...

#include "andrew_kalotay_associates/tipsval/interest_rate_model.h"

Public Member Functions

 InterestRateModel (const Input::InterestRateModelRiskSelection &risk_selection, const Date &settlement_date, const Input::ParYieldCurve &curve)
bool operator! () const
bool is_valid () const
const Output::Statusstatus () const


class Bond
class InflationFloater

Detailed Description

Converts par yield curve into a discount factor curve.

Constructor & Destructor Documentation

◆ InterestRateModel()

AndrewKalotayAssociates::TipsVal::InterestRateModel::InterestRateModel ( const Input::InterestRateModelRiskSelection risk_selection,
const Date settlement_date,
const Input::ParYieldCurve curve 
risk_selectionSpecifies which bumped models should be constructed and cached
settlement_dateDate on which discount factor is 1
par_yield_curveCurve that model is calibrated to

Copy constructor and operator= are disabled

Member Function Documentation

◆ status()

const Output::Status& AndrewKalotayAssociates::TipsVal::InterestRateModel::status ( ) const
Error code and messages generated by constructor

The documentation for this class was generated from the following file: