Class PieceWiseYieldCurve

Defined in File piece_wise_yield_curve.hpp

Inheritance Relationships

Base Types

public otyca::PieceWiseTermStructure (Class PieceWiseTermStructure)
public otyca::YieldCurve (Class YieldCurve)

Class Documentation

class PieceWiseYieldCurve : public otyca::PieceWiseTermStructure, public otyca::YieldCurve 

A piecewise implementation of a yield curve.

Combines the behavior of a yield curve and a piecewise term structure to model interest rates or discount factors in a flexible, segment-wise fashion.

Inherits from:

PieceWiseTermStructure: to provide interpolation between known time-value points.
YieldCurve: to expose discount and growth factor computations.

Public Functions

PieceWiseYieldCurve()

Default constructor.

Initializes an empty piecewise yield curve with no data points.

inline PieceWiseYieldCurve(double t, double v)

Constructs the curve with a single point.

Parameters:

t – Time to maturity of the initial point.
v – Rate or value associated with the time t.

virtual ~PieceWiseYieldCurve(): Destructor.