MulticurveBootstrapping - Man Page

Example of using QuantLib

Synopsis

MulticurveBootstrapping

Description

MulticurveBootstrapping is an example of using QuantLib.

It prices an interest-rate swap over a bootstrapped term structure and calculates its fair fixed rate and floating spread.

See Also

The source code MulticurveBootstrapping.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(1), the QuantLib documentation and website at http://quantlib.org.

Authors

The QuantLib Group (see Contributors.txt).

This manual page was added by Luigi Ballabio <luigi.ballabio@gmail.com> .

Referenced By

BasketLosses(1), BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), CVAIRS(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), Gaussian1dModels(1), GlobalOptimizer(1), LatentModel(1), MarketModels(1), MultidimIntegral(1), Replication(1), Repo(1).

27 October 2018 QuantLib