ShortRate Class Reference

Abstraction of short rate for purposes of discounting. More...

#include <shortrate.h>

Inheritance diagram for ShortRate:

List of all members.

Public Member Functions
virtual coefficient	accumulate (const coefficient t1, const coefficient t2) const =0
virtual coefficient	discount (const coefficient t1, const coefficient t2) const =0

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Detailed Description

Abstraction of short rate for purposes of discounting.

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Member Function Documentation

virtual coefficient ShortRate::accumulate	(	const coefficient	t1,
		const coefficient	t2
	)		const [pure virtual]

Value at t2 of one unit at time t1.

Implemented in ShortRateContinuous, and ShortRateDiscrete.

virtual coefficient ShortRate::discount	(	const coefficient	t1,
		const coefficient	t2
	)		const [pure virtual]

Value at t1 of one unit at time t2.

Implemented in ShortRateContinuous, and ShortRateDiscrete.

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

• shortrate.h