yieldtermstructures (3) - Linux Manuals

NAME

Term structures -

Classes

class InterpolatedDiscountCurve< Interpolator >
Term structure 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 >
Term structure 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 PiecewiseZeroSpreadedTermStructure
Term structure with an added vector of spreads on the zero-yield rate.
class InterpolatedZeroCurve< Interpolator >
Term structure based on interpolation of zero yields.
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 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 InterpolatedZeroCurve<Linear> ZeroCurve

Term structure based on linear interpolation of zero yields.

Author

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