Class YieldCurve

Inheritance Relationships

class YieldCurve : public virtual otyca::TermStructure 

Represents a yield curve, modeling the relationship between term and interest rates.

Inherits from the TermStructure base class and provides methods to compute discount and growth factors based on the term rate.

Public Functions

inline double discount_factor(double t) const

Computes the discount factor for a given time to maturity.

The discount factor is calculated using the formula: D(t) = exp(-r(t) * t) where r(t) is the term rate at time t.

inline double growth_factor(double t) const

Computes the growth factor for a given time to maturity.

The growth factor is calculated using the formula: G(t) = exp(r(t) * t) where r(t) is the term rate at time t.