yieldtermstructures man page

yieldtermstructures — Term structures

Classes

class InterpolatedDiscountCurve< Interpolator >
YieldTermStructure based on interpolation of discount factors.
class FittedBondDiscountCurve
Discount curve fitted to a set of fixed-coupon bonds.
class FlatForward
Flat interest-rate curve.
class InterpolatedForwardCurve< Interpolator >
YieldTermStructure based on interpolation of forward rates.
class ForwardSpreadedTermStructure
Term structure with added spread on the instantaneous forward rate.
class ForwardRateStructure
Forward-rate term structure
class ImpliedTermStructure
Implied term structure at a given date in the future.
class PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >
Piecewise yield term structure.
class InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >
Yield curve with an added vector of spreads on the zero-yield rate.
class InterpolatedZeroCurve< Interpolator >
YieldTermStructure based on interpolation of zero rates.
class ZeroSpreadedTermStructure
Term structure with an added spread on the zero yield rate.
class ZeroYieldStructure
Zero-yield term structure.
class YieldTermStructure
Interest-rate term structure.

Typedefs

typedef InterpolatedDiscountCurve< LogLinear > DiscountCurve
Term structure based on log-linear interpolation of discount factors.
typedef InterpolatedForwardCurve< BackwardFlat > ForwardCurve
Term structure based on flat interpolation of forward rates.
typedef InterpolatedPiecewiseZeroSpreadedTermStructure< Linear > PiecewiseZeroSpreadedTermStructure
Piecewise zero-spreaded yield curve based on linear interpolation of zero rates.
typedef InterpolatedZeroCurve< Linear > ZeroCurve
Term structure based on linear interpolation of zero yields.

Detailed Description

The abstract class QuantLib::YieldTermStructure provides the common interface to concrete yield-rate term structure models. Among others, methods are declared which return instantaneous forward rate, discount factor, and zero rate at a given date. Adapter classes are provided which already implement part of the required methods, thus allowing the programmer to define only the non-redundant part.

Typedef Documentation

typedef InterpolatedDiscountCurve<LogLinear> DiscountCurve

Term structure based on log-linear interpolation of discount factors. Log-linear interpolation guarantees piecewise-constant forward rates.

typedef InterpolatedForwardCurve<BackwardFlat> ForwardCurve

Term structure based on flat interpolation of forward rates.

typedef InterpolatedPiecewiseZeroSpreadedTermStructure<Linear> PiecewiseZeroSpreadedTermStructure

Piecewise zero-spreaded yield curve based on linear interpolation of zero rates.

typedef InterpolatedZeroCurve<Linear> ZeroCurve

Term structure based on linear interpolation of zero yields.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

DiscountCurve(3), ForwardCurve(3), PiecewiseZeroSpreadedTermStructure(3) and ZeroCurve(3) are aliases of yieldtermstructures(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib