ZCurve Struct Reference

#include <zcprvt.h>


Data Fields

TDate valueDate
double * rate
TDate * date
double * discount
int numItems
int numAlloc
long basis
long dayCountConv

Detailed Description

Stores curve of zero rates

Field Documentation

long ZCurve::basis

compounding basis: usually annual

TDate* ZCurve::date

array of dates

long ZCurve::dayCountConv

day counting convention

double* ZCurve::discount

array of discounts

int ZCurve::numAlloc

number of items allowed in arrays

int ZCurve::numItems

number of valid rates in curve

double* ZCurve::rate

array of rates

TDate ZCurve::valueDate

base date all rates start at

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