C++ (Cpp) YieldTermStructure Examples

Example #1

File: capfloor.cpp Project: minikie/OTCDerivativesCalculatorModule

 Rate CapFloor::atmRate(const YieldTermStructure& discountCurve) const {
     bool includeSettlementDateFlows = false;
     Date settlementDate = discountCurve.referenceDate();
     return CashFlows::atmRate(floatingLeg_, discountCurve,
                               includeSettlementDateFlows,
                               settlementDate);
 }

Example #2

File: inflationcapfloor.cpp Project: androidYibo/documents

 Rate YoYInflationCapFloor::atmRate(const YieldTermStructure& discountCurve) const {
     return CashFlows::atmRate(yoyLeg_, discountCurve,
                               false, discountCurve.referenceDate());
 }