ShortRateContinuous Class Reference

ShortRate with continuous compounding. More...

#include <shortratecontinuous.h>

Inheritance diagram for ShortRateContinuous:

List of all members.

Public Member Functions
coefficient	accumulate (const coefficient t1, const coefficient t2) const
coefficient	discount (const coefficient t1, const coefficient t2) const
	ShortRateContinuous (const ParameterIntegrableBridge &r)

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Detailed Description

ShortRate with continuous compounding.

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Constructor & Destructor Documentation

ShortRateContinuous::ShortRateContinuous

(

const ParameterIntegrableBridge &

r

)

[inline]

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Member Function Documentation

coefficient ShortRateContinuous::accumulate	(	const coefficient	t1,
		const coefficient	t2
	)		const [inline, virtual]

Value at t2 of one unit at time t1.

Implements ShortRate.

coefficient ShortRateContinuous::discount	(	const coefficient	t1,
		const coefficient	t2
	)		const [inline, virtual]

Value at t1 of one unit at time t2.

Implements ShortRate.

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

• shortratecontinuous.h